MONY RUB[Strategy] vs Deposit RUB[Benchmark]

26 Dec, 2024 - 7 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	33.25%	34.01%
CAGR﹪	17.49%	17.87%
Sharpe	4.86	26.27
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.24	17.5
Sortino	7.98	-
Smart Sortino	5.31	-
Sortino/√2	5.64	-
Smart Sortino/√2	3.76	-
Omega	2.58	2.58
Max Drawdown	-1.7%	-
Longest DD Days	-	-
Volatility (ann.)	2.93%	0.55%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	10.31	-
Skew	-0.16	8.45
Kurtosis	21.53	92.92
Expected Daily	0.06%	0.06%
Expected Monthly	1.26%	1.28%
Expected Yearly	10.04%	10.25%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.25%	-0.0%
Expected Shortfall (cVaR)	-0.25%	-0.0%
Max Consecutive Wins	23	508
Max Consecutive Losses	3	0
Gain/Pain Ratio	1.58	-
Gain/Pain (1M)	484.5	-
Payoff Ratio	-	-
Profit Factor	2.58	-
Common Sense Ratio	3.16	-
CPC Index	-	-
Tail Ratio	1.23	2.51
Outlier Win Ratio	2.59	5.44
Outlier Loss Ratio	1.18	-
MTD	0.32%	0.28%
3M	3.72%	3.34%
6M	7.36%	6.71%
YTD	11.5%	10.75%
1Y	15.75%	14.82%
3Y (ann.)	17.49%	17.87%
5Y (ann.)	17.49%	17.87%
10Y (ann.)	17.49%	17.87%
All-time (ann.)	17.49%	17.87%
Best Day	1.65%	0.45%
Worst Day	-1.54%	0.0%
Best Month	1.83%	1.79%
Worst Month	-0.06%	0.28%
Best Year	19.57%	19.38%
Worst Year	-0.06%	1.35%
Avg. Drawdown	-0.2%	-
Avg. Drawdown Days	-	-
Recovery Factor	19.6	-
Ulcer Index	0.0	0.0
Serenity Index	35.97	-
Avg. Up Month	1.32%	1.28%
Avg. Down Month	-	-
Win Days	75.0%	100.0%
Win Month	95.65%	100.0%
Win Quarter	88.89%	100.0%
Win Year	66.67%	100.0%
Beta	0.06	-
Alpha	0.13	-
Correlation	1.09%	-
Treynor Ratio	574.59%	-