NFKL RUB[Strategy] vs Deposit RUB[Benchmark]

23 Jun, 2026 - 14 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	5.09%	6.53%
CAGR﹪	13.42%	17.4%
Sharpe	9.92	30.65
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.41	25.97
Sortino	23.36	-
Smart Sortino	19.79	-
Sortino/√2	16.52	-
Smart Sortino/√2	14.0	-
Omega	5.23	5.23
Max Drawdown	-0.1%	-
Longest DD Days	-	-
Volatility (ann.)	0.95%	0.39%
R^2	0.01	0.01
Information Ratio	-0.15	-0.15
Calmar	134.57	-
Skew	-0.05	2.42
Kurtosis	0.05	5.33
Expected Daily	0.04%	0.05%
Expected Monthly	0.83%	1.06%
Expected Yearly	5.09%	6.53%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.01%
Expected Shortfall (cVaR)	-0.06%	-0.01%
Max Consecutive Wins	10	132
Max Consecutive Losses	1	0
Gain/Pain Ratio	4.23	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.23	-
Common Sense Ratio	9.89	-
CPC Index	-	-
Tail Ratio	1.89	2.83
Outlier Win Ratio	2.69	3.1
Outlier Loss Ratio	0.56	-
MTD	0.5%	1.11%
3M	3.4%	3.98%
6M	5.09%	6.53%
YTD	5.09%	6.53%
1Y	5.09%	6.53%
3Y (ann.)	13.42%	17.4%
5Y (ann.)	13.42%	17.4%
10Y (ann.)	13.42%	17.4%
All-time (ann.)	13.42%	17.4%
Best Day	0.19%	0.13%
Worst Day	-0.1%	0.0%
Best Month	1.28%	1.11%
Worst Month	0.09%	0.93%
Best Year	5.09%	6.53%
Worst Year	5.09%	6.53%
Avg. Drawdown	-0.06%	-
Avg. Drawdown Days	-	-
Recovery Factor	51.08	-
Ulcer Index	0.0	0.0
Serenity Index	198.54	-
Avg. Up Month	0.83%	1.06%
Avg. Down Month	-	-
Win Days	81.74%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.18	-
Alpha	0.12	-
Correlation	-7.52%	-
Treynor Ratio	-27.93%	-