OBLG RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 16 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	41.33%	57.32%
CAGR﹪	11.27%	15.02%
Sharpe	2.84	41.44
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	2.66	38.77
Sortino	4.28	-
Smart Sortino	4.01	-
Sortino/√2	3.03	-
Smart Sortino/√2	2.83	-
Omega	1.71	1.71
Max Drawdown	-4.56%	-
Longest DD Days	-	-
Volatility (ann.)	3.71%	0.33%
R^2	0.01	0.01
Information Ratio	-0.05	-0.05
Calmar	2.47	-
Skew	-1.19	0.17
Kurtosis	19.17	-0.92
Expected Daily	0.04%	0.05%
Expected Monthly	0.87%	1.14%
Expected Yearly	9.03%	11.99%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.34%	-0.02%
Expected Shortfall (cVaR)	-0.34%	-0.02%
Max Consecutive Wins	25	831
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.71	-
Gain/Pain (1M)	3.64	-
Payoff Ratio	-	-
Profit Factor	1.71	-
Common Sense Ratio	2.22	-
CPC Index	-	-
Tail Ratio	1.3	3.5
Outlier Win Ratio	2.2	6.5
Outlier Loss Ratio	1.49	-
MTD	-0.12%	1.29%
3M	3.21%	4.69%
6M	13.39%	9.61%
YTD	21.4%	16.38%
1Y	25.82%	21.7%
3Y (ann.)	11.49%	15.82%
5Y (ann.)	11.27%	15.02%
10Y (ann.)	11.27%	15.02%
All-time (ann.)	11.27%	15.02%
Best Day	1.43%	0.11%
Worst Day	-2.21%	0.0%
Best Month	5.56%	1.83%
Worst Month	-2.04%	0.48%
Best Year	21.4%	18.74%
Worst Year	3.68%	3.5%
Avg. Drawdown	-0.35%	-
Avg. Drawdown Days	-	-
Recovery Factor	9.05	-
Ulcer Index	0.01	0.0
Serenity Index	4.48	-
Avg. Up Month	1.49%	1.15%
Avg. Down Month	-	-
Win Days	61.01%	100.0%
Win Month	75.0%	100.0%
Win Quarter	78.57%	100.0%
Win Year	100.0%	100.0%
Beta	1.06	-
Alpha	-0.04	-
Correlation	9.43%	-
Treynor Ratio	39.1%	-