OBLG RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 24 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	54.82%	67.17%
CAGR﹪	12.63%	15.01%
Sharpe	3.26	45.68
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	3.08	43.17
Sortino	5.0	-
Smart Sortino	4.73	-
Sortino/√2	3.54	-
Smart Sortino/√2	3.34	-
Omega	1.83	1.83
Max Drawdown	-4.56%	-
Longest DD Days	-	-
Volatility (ann.)	3.63%	0.3%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	2.77	-
Skew	-1.15	-0.1
Kurtosis	18.82	-1.04
Expected Daily	0.05%	0.05%
Expected Monthly	0.98%	1.15%
Expected Yearly	9.14%	10.82%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.33%	-0.02%
Expected Shortfall (cVaR)	-0.33%	-0.02%
Max Consecutive Wins	25	937
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.83	-
Gain/Pain (1M)	4.65	-
Payoff Ratio	-	-
Profit Factor	1.83	-
Common Sense Ratio	2.34	-
CPC Index	-	-
Tail Ratio	1.28	3.18
Outlier Win Ratio	2.05	6.05
Outlier Loss Ratio	1.4	-
MTD	1.44%	1.16%
3M	5.29%	3.88%
6M	9.15%	7.95%
YTD	3.74%	3.58%
1Y	24.27%	17.99%
3Y (ann.)	13.51%	16.89%
5Y (ann.)	12.63%	15.01%
10Y (ann.)	12.63%	15.01%
All-time (ann.)	12.63%	15.01%
Best Day	1.43%	0.1%
Worst Day	-2.21%	0.0%
Best Month	5.56%	1.83%
Worst Month	-2.04%	0.48%
Best Year	28.2%	19.38%
Worst Year	3.68%	3.5%
Avg. Drawdown	-0.32%	-
Avg. Drawdown Days	-	-
Recovery Factor	12.01	-
Ulcer Index	0.01	0.0
Serenity Index	6.49	-
Avg. Up Month	1.5%	1.16%
Avg. Down Month	-	-
Win Days	62.14%	100.0%
Win Month	80.0%	100.0%
Win Quarter	86.67%	100.0%
Win Year	100.0%	100.0%
Beta	1.3	-
Alpha	-0.06	-
Correlation	10.82%	-
Treynor Ratio	42.23%	-