OBLG RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	46.35%	59.87%
CAGR﹪	11.94%	14.91%
Sharpe	3.0	43.89
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	2.85	41.64
Sortino	4.56	-
Smart Sortino	4.32	-
Sortino/√2	3.22	-
Smart Sortino/√2	3.06	-
Omega	1.75	1.75
Max Drawdown	-4.56%	-
Longest DD Days	-	-
Volatility (ann.)	3.71%	0.31%
R^2	0.01	0.01
Information Ratio	-0.04	-0.04
Calmar	2.62	-
Skew	-1.16	-0.0
Kurtosis	18.5	-1.12
Expected Daily	0.04%	0.05%
Expected Monthly	0.91%	1.12%
Expected Yearly	9.99%	12.45%
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	867
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.75	-
Gain/Pain (1M)	4.05	-
Payoff Ratio	-	-
Profit Factor	1.75	-
Common Sense Ratio	2.27	-
CPC Index	-	-
Tail Ratio	1.3	3.45
Outlier Win Ratio	2.08	6.3
Outlier Loss Ratio	1.43	-
MTD	0.47%	0.32%
3M	2.44%	4.02%
6M	11.41%	8.47%
YTD	25.72%	18.26%
1Y	31.96%	20.11%
3Y (ann.)	12.12%	16.04%
5Y (ann.)	11.94%	14.91%
10Y (ann.)	11.94%	14.91%
All-time (ann.)	11.94%	14.91%
Best Day	1.43%	0.1%
Worst Day	-2.21%	0.0%
Best Month	5.56%	1.83%
Worst Month	-2.04%	0.32%
Best Year	25.72%	18.74%
Worst Year	3.68%	3.5%
Avg. Drawdown	-0.34%	-
Avg. Drawdown Days	-	-
Recovery Factor	10.15	-
Ulcer Index	0.01	0.0
Serenity Index	5.2	-
Avg. Up Month	1.46%	1.13%
Avg. Down Month	-	-
Win Days	61.37%	100.0%
Win Month	78.57%	100.0%
Win Quarter	85.71%	100.0%
Win Year	100.0%	100.0%
Beta	1.29	-
Alpha	-0.07	-
Correlation	10.84%	-
Treynor Ratio	35.81%	-