OBLG RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 17 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	28.5%	47.07%
CAGR﹪	9.29%	14.65%
Sharpe	2.3	37.53
Prob. Sharpe Ratio	99.97%	-
Smart Sharpe	2.21	36.01
Sortino	3.39	-
Smart Sortino	3.26	-
Sortino/√2	2.4	-
Smart Sortino/√2	2.3	-
Omega	1.55	1.55
Max Drawdown	-4.56%	-
Longest DD Days	-	-
Volatility (ann.)	3.84%	0.36%
R^2	0.01	0.01
Information Ratio	-0.08	-0.08
Calmar	2.04	-
Skew	-1.19	0.45
Kurtosis	19.19	-0.63
Expected Daily	0.03%	0.05%
Expected Monthly	0.72%	1.11%
Expected Yearly	6.47%	10.12%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.36%	-0.02%
Expected Shortfall (cVaR)	-0.36%	-0.02%
Max Consecutive Wins	10	721
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.55	-
Gain/Pain (1M)	2.93	-
Payoff Ratio	-	-
Profit Factor	1.55	-
Common Sense Ratio	1.95	-
CPC Index	-	-
Tail Ratio	1.26	3.59
Outlier Win Ratio	2.36	7.1
Outlier Loss Ratio	1.51	-
MTD	1.2%	1.63%
3M	6.61%	5.97%
6M	15.61%	11.73%
YTD	10.39%	8.8%
1Y	15.61%	22.25%
3Y (ann.)	9.29%	14.65%
5Y (ann.)	9.29%	14.65%
10Y (ann.)	9.29%	14.65%
All-time (ann.)	9.29%	14.65%
Best Day	1.43%	0.12%
Worst Day	-2.21%	0.0%
Best Month	5.56%	1.83%
Worst Month	-2.04%	0.48%
Best Year	10.39%	18.74%
Worst Year	3.68%	3.5%
Avg. Drawdown	-0.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	6.24	-
Ulcer Index	0.01	0.0
Serenity Index	2.88	-
Avg. Up Month	1.27%	1.12%
Avg. Down Month	-	-
Win Days	59.6%	100.0%
Win Month	77.14%	100.0%
Win Quarter	83.33%	100.0%
Win Year	100.0%	100.0%
Beta	0.99	-
Alpha	-0.05	-
Correlation	9.29%	-
Treynor Ratio	28.7%	-