RQIU RUB[Strategy] vs Deposit RUB[Benchmark]

2 Dec, 2021 - 9 Jun, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	0.96%	10.93%
CAGR﹪	0.63%	7.08%
Sharpe	0.27	40.06
Prob. Sharpe Ratio	61.14%	100.0%
Smart Sharpe	0.25	37.22
Sortino	0.33	-
Smart Sortino	0.31	-
Sortino/√2	0.24	-
Smart Sortino/√2	0.22	-
Omega	1.06	1.06
Max Drawdown	-45.06%	-
Longest DD Days	-	-
Volatility (ann.)	45.47%	0.22%
R^2	0.03	0.03
Information Ratio	0.0	0.0
Calmar	0.01	-
Skew	-5.07	4.74
Kurtosis	61.48	25.33
Expected Daily	0.0%	0.04%
Expected Monthly	0.06%	0.61%
Expected Yearly	0.32%	3.52%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.66%	-0.01%
Expected Shortfall (cVaR)	-4.66%	-0.01%
Max Consecutive Wins	6	293
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.24	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.31	-
CPC Index	-	-
Tail Ratio	1.23	2.17
Outlier Win Ratio	2.0	83.56
Outlier Loss Ratio	1.51	-
MTD	3.66%	0.2%
3M	12.18%	1.99%
6M	36.61%	4.0%
YTD	27.62%	3.49%
1Y	39.32%	7.71%
3Y (ann.)	0.63%	7.08%
5Y (ann.)	0.63%	7.08%
10Y (ann.)	0.63%	7.08%
All-time (ann.)	0.63%	7.08%
Best Day	9.89%	0.12%
Worst Day	-33.14%	0.0%
Best Month	18.32%	0.82%
Worst Month	-28.25%	0.2%
Best Year	27.62%	6.57%
Worst Year	-20.45%	0.59%
Avg. Drawdown	-15.16%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.02	-
Ulcer Index	0.28	0.0
Serenity Index	0.0	-
Avg. Up Month	6.77%	0.6%
Avg. Down Month	-	-
Win Days	53.74%	100.0%
Win Month	64.71%	100.0%
Win Quarter	71.43%	100.0%
Win Year	33.33%	100.0%
Beta	-35.51	-
Alpha	3.28	-
Correlation	-17.34%	-
Treynor Ratio	-0.03%	-