OBLG RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 9 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	60.66%	71.42%
CAGR﹪	12.98%	14.88%
Sharpe	3.42	46.73
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	3.23	44.24
Sortino	5.26	-
Smart Sortino	4.98	-
Sortino/√2	3.72	-
Smart Sortino/√2	3.52	-
Omega	1.89	1.89
Max Drawdown	-4.56%	-
Longest DD Days	-	-
Volatility (ann.)	3.55%	0.29%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	2.84	-
Skew	-1.18	-0.04
Kurtosis	19.64	-0.92
Expected Daily	0.05%	0.05%
Expected Monthly	0.99%	1.13%
Expected Yearly	9.95%	11.38%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.32%	-0.02%
Expected Shortfall (cVaR)	-0.32%	-0.02%
Max Consecutive Wins	25	991
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.89	-
Gain/Pain (1M)	5.04	-
Payoff Ratio	-	-
Profit Factor	1.89	-
Common Sense Ratio	2.39	-
CPC Index	-	-
Tail Ratio	1.26	3.18
Outlier Win Ratio	2.09	6.05
Outlier Loss Ratio	1.39	-
MTD	0.3%	0.38%
3M	4.97%	3.46%
6M	9.88%	7.2%
YTD	7.65%	6.22%
1Y	21.67%	16.14%
3Y (ann.)	14.26%	17.25%
5Y (ann.)	12.98%	14.88%
10Y (ann.)	12.98%	14.88%
All-time (ann.)	12.98%	14.88%
Best Day	1.43%	0.1%
Worst Day	-2.21%	0.0%
Best Month	5.56%	1.83%
Worst Month	-2.04%	0.38%
Best Year	28.2%	19.38%
Worst Year	3.68%	3.5%
Avg. Drawdown	-0.3%	-
Avg. Drawdown Days	-	-
Recovery Factor	13.29	-
Ulcer Index	0.01	0.0
Serenity Index	7.42	-
Avg. Up Month	1.48%	1.14%
Avg. Down Month	-	-
Win Days	63.24%	100.0%
Win Month	81.25%	100.0%
Win Quarter	87.5%	100.0%
Win Year	100.0%	100.0%
Beta	1.26	-
Alpha	-0.05	-
Correlation	10.44%	-
Treynor Ratio	48.01%	-