RCGL RUB[Strategy] vs Deposit RUB[Benchmark]

30 Aug, 2022 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	135.52%	29.37%
CAGR﹪	50.65%	13.11%
Sharpe	2.19	10.71
Prob. Sharpe Ratio	99.92%	99.33%
Smart Sharpe	2.1	10.23
Sortino	3.39	-
Smart Sortino	3.24	-
Sortino/√2	2.4	-
Smart Sortino/√2	2.29	-
Omega	1.44	1.44
Max Drawdown	-12.41%	-
Longest DD Days	-	-
Volatility (ann.)	19.44%	1.14%
R^2	0.0	0.0
Information Ratio	0.1	0.1
Calmar	4.08	-
Skew	-0.14	20.84
Kurtosis	1.45	462.04
Expected Daily	0.16%	0.05%
Expected Monthly	3.22%	0.96%
Expected Yearly	33.05%	8.96%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.85%	-0.07%
Expected Shortfall (cVaR)	-1.85%	-0.07%
Max Consecutive Wins	10	529
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.44	-
Gain/Pain (1M)	10.03	-
Payoff Ratio	-	-
Profit Factor	1.44	-
Common Sense Ratio	1.67	-
CPC Index	-	-
Tail Ratio	1.16	2.43
Outlier Win Ratio	1.69	32.42
Outlier Loss Ratio	1.53	-
MTD	1.2%	1.65%
3M	21.38%	6.22%
6M	17.88%	10.36%
YTD	33.73%	14.5%
1Y	35.1%	18.4%
3Y (ann.)	50.65%	13.11%
5Y (ann.)	50.65%	13.11%
10Y (ann.)	50.65%	13.11%
All-time (ann.)	50.65%	13.11%
Best Day	5.06%	1.65%
Worst Day	-5.0%	0.0%
Best Month	17.22%	1.65%
Worst Month	-2.65%	0.28%
Best Year	44.49%	14.5%
Worst Year	21.89%	2.71%
Avg. Drawdown	-2.49%	-
Avg. Drawdown Days	-	-
Recovery Factor	10.92	-
Ulcer Index	0.04	0.0
Serenity Index	4.92	-
Avg. Up Month	5.24%	0.95%
Avg. Down Month	-	-
Win Days	58.54%	100.0%
Win Month	73.08%	100.0%
Win Quarter	90.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.5	-
Alpha	0.37	-
Correlation	2.94%	-
Treynor Ratio	271.01%	-