OPNB RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	6.85%	67.53%
CAGR﹪	1.62%	13.36%
Sharpe	0.18	39.08
Prob. Sharpe Ratio	64.7%	-
Smart Sharpe	0.18	38.18
Sortino	0.28	-
Smart Sortino	0.27	-
Sortino/√2	0.2	-
Smart Sortino/√2	0.19	-
Omega	1.05	1.05
Max Drawdown	-25.49%	-
Longest DD Days	-	-
Volatility (ann.)	14.37%	0.32%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.06	-
Skew	2.99	0.38
Kurtosis	153.13	-1.06
Expected Daily	0.01%	0.05%
Expected Monthly	0.14%	1.06%
Expected Yearly	1.33%	10.87%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.48%	-0.02%
Expected Shortfall (cVaR)	-1.48%	-0.02%
Max Consecutive Wins	13	1026
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.15	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	1.01	3.26
Outlier Win Ratio	2.18	18.5
Outlier Loss Ratio	1.68	-
MTD	1.55%	1.29%
3M	1.03%	4.62%
6M	12.42%	9.53%
YTD	16.53%	16.38%
1Y	27.65%	21.61%
3Y (ann.)	3.36%	15.81%
5Y (ann.)	1.62%	13.36%
10Y (ann.)	1.62%	13.36%
All-time (ann.)	1.62%	13.36%
Best Day	16.67%	0.1%
Worst Day	-12.11%	0.0%
Best Month	24.19%	1.83%
Worst Month	-22.9%	0.5%
Best Year	16.53%	18.74%
Worst Year	-5.64%	2.32%
Avg. Drawdown	-3.68%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.27	-
Ulcer Index	0.09	0.0
Serenity Index	0.05	-
Avg. Up Month	3.6%	1.12%
Avg. Down Month	-	-
Win Days	48.53%	100.0%
Win Month	48.98%	100.0%
Win Quarter	50.0%	100.0%
Win Year	20.0%	100.0%
Beta	2.54	-
Alpha	-0.3	-
Correlation	5.73%	-
Treynor Ratio	2.7%	-