OPNB RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2021 - 10 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	3.24%	59.95%
CAGR﹪	0.83%	13.0%
Sharpe	0.13	38.36
Prob. Sharpe Ratio	60.07%	-
Smart Sharpe	0.13	37.28
Sortino	0.2	-
Smart Sortino	0.19	-
Sortino/√2	0.14	-
Smart Sortino/√2	0.14	-
Omega	1.04	1.04
Max Drawdown	-25.49%	-
Longest DD Days	-	-
Volatility (ann.)	14.7%	0.32%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.03	-
Skew	3.0	0.4
Kurtosis	150.24	-1.23
Expected Daily	0.0%	0.05%
Expected Monthly	0.07%	1.03%
Expected Yearly	0.64%	9.85%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.52%	-0.02%
Expected Shortfall (cVaR)	-1.52%	-0.02%
Max Consecutive Wins	13	955
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.04	-
Gain/Pain (1M)	0.1	-
Payoff Ratio	-	-
Profit Factor	1.04	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	1.02	3.25
Outlier Win Ratio	2.16	18.85
Outlier Loss Ratio	1.7	-
MTD	0.23%	0.61%
3M	11.84%	4.96%
6M	13.97%	10.72%
YTD	12.59%	11.11%
1Y	20.0%	21.87%
3Y (ann.)	0.25%	14.7%
5Y (ann.)	0.83%	13.0%
10Y (ann.)	0.83%	13.0%
All-time (ann.)	0.83%	13.0%
Best Day	16.67%	0.09%
Worst Day	-12.11%	0.0%
Best Month	24.19%	1.83%
Worst Month	-22.9%	0.5%
Best Year	12.59%	18.74%
Worst Year	-5.64%	2.32%
Avg. Drawdown	-5.68%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.13	-
Ulcer Index	0.09	0.0
Serenity Index	0.02	-
Avg. Up Month	3.63%	1.07%
Avg. Down Month	-	-
Win Days	48.04%	100.0%
Win Month	47.83%	100.0%
Win Quarter	47.06%	100.0%
Win Year	20.0%	100.0%
Beta	2.53	-
Alpha	-0.29	-
Correlation	5.55%	-
Treynor Ratio	1.28%	-