OPNB RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2021 - 6 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	6.8%	69.69%
CAGR﹪	1.59%	13.52%
Sharpe	0.18	31.23
Prob. Sharpe Ratio	64.61%	100.0%
Smart Sharpe	0.18	30.46
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.)	14.32%	0.41%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.06	-
Skew	2.98	4.54
Kurtosis	153.34	44.82
Expected Daily	0.01%	0.05%
Expected Monthly	0.13%	1.06%
Expected Yearly	1.32%	11.16%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.47%	-0.01%
Expected Shortfall (cVaR)	-1.47%	-0.01%
Max Consecutive Wins	13	1040
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	3.25
Outlier Win Ratio	2.14	18.04
Outlier Loss Ratio	1.67	-
MTD	0.47%	1.3%
3M	-0.74%	5.09%
6M	13.93%	9.91%
YTD	16.47%	17.88%
1Y	31.97%	21.89%
3Y (ann.)	3.31%	16.16%
5Y (ann.)	1.59%	13.52%
10Y (ann.)	1.59%	13.52%
All-time (ann.)	1.59%	13.52%
Best Day	16.67%	0.32%
Worst Day	-12.11%	0.0%
Best Month	24.19%	1.83%
Worst Month	-22.9%	0.5%
Best Year	16.47%	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	3.46%	1.13%
Avg. Down Month	-	-
Win Days	48.4%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	20.0%	100.0%
Beta	1.64	-
Alpha	-0.18	-
Correlation	4.71%	-
Treynor Ratio	4.13%	-