OBLG RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 20 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	17.72%	37.63%
CAGR﹪	6.74%	13.62%
Sharpe	1.69	33.07
Prob. Sharpe Ratio	99.31%	100.0%
Smart Sharpe	1.62	31.78
Sortino	2.45	-
Smart Sortino	2.35	-
Sortino/√2	1.73	-
Smart Sortino/√2	1.66	-
Omega	1.39	1.39
Max Drawdown	-4.56%	-
Longest DD Days	-	-
Volatility (ann.)	3.88%	0.38%
R^2	0.0	0.0
Information Ratio	-0.1	-0.1
Calmar	1.48	-
Skew	-1.17	1.83
Kurtosis	20.52	6.14
Expected Daily	0.03%	0.05%
Expected Monthly	0.53%	1.04%
Expected Yearly	4.16%	8.31%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.38%	-0.01%
Expected Shortfall (cVaR)	-0.38%	-0.01%
Max Consecutive Wins	10	635
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.39	-
Gain/Pain (1M)	1.91	-
Payoff Ratio	-	-
Profit Factor	1.39	-
Common Sense Ratio	1.69	-
CPC Index	-	-
Tail Ratio	1.22	3.5
Outlier Win Ratio	2.7	8.34
Outlier Loss Ratio	1.5	-
MTD	1.13%	1.81%
3M	4.65%	6.24%
6M	6.07%	11.12%
YTD	1.13%	1.81%
1Y	8.81%	19.97%
3Y (ann.)	6.74%	13.62%
5Y (ann.)	6.74%	13.62%
10Y (ann.)	6.74%	13.62%
All-time (ann.)	6.74%	13.62%
Best Day	1.43%	0.16%
Worst Day	-2.21%	0.0%
Best Month	5.56%	1.83%
Worst Month	-2.04%	0.48%
Best Year	7.65%	18.74%
Worst Year	1.13%	1.81%
Avg. Drawdown	-0.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.88	-
Ulcer Index	0.01	0.0
Serenity Index	1.61	-
Avg. Up Month	1.1%	1.02%
Avg. Down Month	-	-
Win Days	57.64%	100.0%
Win Month	74.19%	100.0%
Win Quarter	81.82%	100.0%
Win Year	100.0%	100.0%
Beta	0.58	-
Alpha	-0.01	-
Correlation	5.76%	-
Treynor Ratio	30.36%	-