MONY RUB[Strategy] vs Deposit RUB[Benchmark]

26 Dec, 2024 - 23 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	20.59%	22.52%
CAGR﹪	18.99%	20.76%
Sharpe	10.16	28.56
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.92	19.44
Sortino	21.53	-
Smart Sortino	14.65	-
Sortino/√2	15.22	-
Smart Sortino/√2	10.36	-
Omega	5.96	5.96
Max Drawdown	-0.38%	-
Longest DD Days	-	-
Volatility (ann.)	1.7%	0.66%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	50.6	-
Skew	-0.03	8.18
Kurtosis	4.06	72.53
Expected Daily	0.07%	0.07%
Expected Monthly	1.35%	1.46%
Expected Yearly	6.44%	7.01%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.11%	-0.01%
Expected Shortfall (cVaR)	-0.11%	-0.01%
Max Consecutive Wins	23	272
Max Consecutive Losses	2	0
Gain/Pain Ratio	4.96	-
Gain/Pain (1M)	315.31	-
Payoff Ratio	-	-
Profit Factor	5.96	-
Common Sense Ratio	16.66	-
CPC Index	-	-
Tail Ratio	2.79	1.6
Outlier Win Ratio	2.71	3.49
Outlier Loss Ratio	1.06	-
MTD	0.91%	1.26%
3M	3.94%	4.29%
6M	8.26%	8.42%
YTD	0.91%	1.26%
1Y	19.68%	19.5%
3Y (ann.)	18.99%	20.76%
5Y (ann.)	18.99%	20.76%
10Y (ann.)	18.99%	20.76%
All-time (ann.)	18.99%	20.76%
Best Day	0.59%	0.45%
Worst Day	-0.38%	0.0%
Best Month	1.83%	1.79%
Worst Month	-0.06%	1.26%
Best Year	19.57%	19.38%
Worst Year	-0.06%	1.26%
Avg. Drawdown	-0.11%	-
Avg. Drawdown Days	-	-
Recovery Factor	54.85	-
Ulcer Index	0.0	0.0
Serenity Index	303.76	-
Avg. Up Month	1.46%	1.47%
Avg. Down Month	-	-
Win Days	84.98%	100.0%
Win Month	92.86%	100.0%
Win Quarter	83.33%	100.0%
Win Year	66.67%	100.0%
Beta	-0.18	-
Alpha	0.21	-
Correlation	-6.89%	-
Treynor Ratio	-115.32%	-