RQIU RUB[Strategy] vs Deposit RUB[Benchmark]

2 Dec, 2021 - 5 Dec, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	14.25%	17.9%
CAGR﹪	6.86%	8.55%
Sharpe	0.43	18.69
Prob. Sharpe Ratio	69.57%	100.0%
Smart Sharpe	0.43	18.62
Sortino	0.54	-
Smart Sortino	0.54	-
Sortino/√2	0.38	-
Smart Sortino/√2	0.38	-
Omega	1.1	1.1
Max Drawdown	-45.06%	-
Longest DD Days	-	-
Volatility (ann.)	43.0%	0.56%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	0.15	-
Skew	-4.42	8.48
Kurtosis	56.6	83.6
Expected Daily	0.03%	0.04%
Expected Monthly	0.58%	0.72%
Expected Yearly	4.54%	5.64%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.38%	-0.02%
Expected Shortfall (cVaR)	-4.38%	-0.02%
Max Consecutive Wins	6	399
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.45	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.25	-
CPC Index	-	-
Tail Ratio	1.14	3.27
Outlier Win Ratio	1.93	70.89
Outlier Loss Ratio	1.61	-
MTD	-3.36%	1.21%
3M	0.85%	4.17%
6M	12.7%	6.43%
YTD	44.42%	9.98%
1Y	58.1%	10.66%
3Y (ann.)	6.86%	8.55%
5Y (ann.)	6.86%	8.55%
10Y (ann.)	6.86%	8.55%
All-time (ann.)	6.86%	8.55%
Best Day	9.89%	0.41%
Worst Day	-33.14%	0.0%
Best Month	18.32%	1.21%
Worst Month	-28.25%	0.55%
Best Year	44.42%	9.98%
Worst Year	-20.45%	0.59%
Avg. Drawdown	-8.13%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.32	-
Ulcer Index	0.24	0.0
Serenity Index	0.04	-
Avg. Up Month	6.19%	0.71%
Avg. Down Month	-	-
Win Days	53.37%	100.0%
Win Month	65.22%	100.0%
Win Quarter	77.78%	100.0%
Win Year	33.33%	100.0%
Beta	-6.58	-
Alpha	0.87	-
Correlation	-8.5%	-
Treynor Ratio	-2.16%	-