OPNB RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2021 - 2 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-2.03%	56.71%
CAGR﹪	-0.55%	12.76%
Sharpe	0.04	38.19
Prob. Sharpe Ratio	52.75%	-
Smart Sharpe	0.03	37.04
Sortino	0.05	-
Smart Sortino	0.05	-
Sortino/√2	0.04	-
Smart Sortino/√2	0.04	-
Omega	1.01	1.01
Max Drawdown	-25.49%	-
Longest DD Days	-	-
Volatility (ann.)	14.86%	0.32%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.02	-
Skew	3.01	0.47
Kurtosis	148.42	-1.12
Expected Daily	-0.0%	0.05%
Expected Monthly	-0.05%	1.0%
Expected Yearly	-0.41%	9.4%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.54%	-0.02%
Expected Shortfall (cVaR)	-1.54%	-0.02%
Max Consecutive Wins	13	928
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.01	-
Gain/Pain (1M)	0.03	-
Payoff Ratio	-	-
Profit Factor	1.01	-
Common Sense Ratio	1.0	-
CPC Index	-	-
Tail Ratio	0.99	3.3
Outlier Win Ratio	2.22	19.7
Outlier Loss Ratio	1.7	-
MTD	0.43%	0.06%
3M	5.03%	5.12%
6M	17.04%	10.83%
YTD	6.85%	8.86%
1Y	13.17%	21.51%
3Y (ann.)	-0.65%	14.2%
5Y (ann.)	-0.55%	12.76%
10Y (ann.)	-0.55%	12.76%
All-time (ann.)	-0.55%	12.76%
Best Day	16.67%	0.09%
Worst Day	-12.11%	0.0%
Best Month	24.19%	1.83%
Worst Month	-22.9%	0.06%
Best Year	6.85%	18.74%
Worst Year	-5.64%	2.32%
Avg. Drawdown	-7.21%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.08	-
Ulcer Index	0.09	0.0
Serenity Index	-0.01	-
Avg. Up Month	3.55%	1.03%
Avg. Down Month	-	-
Win Days	47.43%	100.0%
Win Month	46.67%	100.0%
Win Quarter	43.75%	100.0%
Win Year	20.0%	100.0%
Beta	2.28	-
Alpha	-0.27	-
Correlation	4.9%	-
Treynor Ratio	-0.89%	-