RCHY RUB[Strategy] vs Deposit RUB[Benchmark]

28 Jul, 2021 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	22.06%	40.01%
CAGR﹪	6.47%	11.16%
Sharpe	0.48	11.46
Prob. Sharpe Ratio	79.6%	99.21%
Smart Sharpe	0.32	7.75
Sortino	0.68	-
Smart Sortino	0.46	-
Sortino/√2	0.48	-
Smart Sortino/√2	0.33	-
Omega	1.15	1.15
Max Drawdown	-20.51%	-
Longest DD Days	-	-
Volatility (ann.)	16.27%	0.95%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.32	-
Skew	-0.12	24.82
Kurtosis	119.03	665.16
Expected Daily	0.03%	0.04%
Expected Monthly	0.51%	0.87%
Expected Yearly	5.11%	8.78%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.66%	-0.06%
Expected Shortfall (cVaR)	-1.66%	-0.06%
Max Consecutive Wins	13	778
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.15	-
Gain/Pain (1M)	1.67	-
Payoff Ratio	-	-
Profit Factor	1.15	-
Common Sense Ratio	1.2	-
CPC Index	-	-
Tail Ratio	1.04	2.93
Outlier Win Ratio	2.4	22.47
Outlier Loss Ratio	2.03	-
MTD	-0.77%	1.65%
3M	-0.49%	6.22%
6M	-0.12%	10.36%
YTD	3.02%	14.5%
1Y	5.31%	18.4%
3Y (ann.)	7.06%	11.5%
5Y (ann.)	6.47%	11.16%
10Y (ann.)	6.47%	11.16%
All-time (ann.)	6.47%	11.16%
Best Day	14.94%	1.65%
Worst Day	-15.05%	0.0%
Best Month	5.32%	1.65%
Worst Month	-6.34%	0.31%
Best Year	9.3%	14.5%
Worst Year	0.9%	3.19%
Avg. Drawdown	-1.02%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.08	-
Ulcer Index	0.02	0.0
Serenity Index	3.11	-
Avg. Up Month	1.34%	0.85%
Avg. Down Month	-	-
Win Days	54.21%	100.0%
Win Month	71.79%	100.0%
Win Quarter	85.71%	100.0%
Win Year	100.0%	100.0%
Beta	-0.45	-
Alpha	0.13	-
Correlation	-2.62%	-
Treynor Ratio	-49.2%	-