RSHU RUB[Strategy] vs Deposit RUB[Benchmark]

19 Oct, 2023 - 30 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	10.51%	35.45%
CAGR﹪	6.06%	19.56%
Sharpe	0.39	86.81
Prob. Sharpe Ratio	69.55%	100.0%
Smart Sharpe	0.39	86.35
Sortino	0.61	-
Smart Sortino	0.61	-
Sortino/√2	0.43	-
Smart Sortino/√2	0.43	-
Omega	1.08	1.08
Max Drawdown	-14.69%	-
Longest DD Days	-	-
Volatility (ann.)	20.35%	0.2%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.41	-
Skew	0.74	0.14
Kurtosis	3.32	1.95
Expected Daily	0.02%	0.07%
Expected Monthly	0.48%	1.46%
Expected Yearly	3.39%	10.64%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.08%	-0.05%
Expected Shortfall (cVaR)	-2.08%	-0.05%
Max Consecutive Wins	7	430
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.08	-
Gain/Pain (1M)	0.51	-
Payoff Ratio	-	-
Profit Factor	1.08	-
Common Sense Ratio	1.18	-
CPC Index	-	-
Tail Ratio	1.1	1.73
Outlier Win Ratio	2.36	29.72
Outlier Loss Ratio	1.99	-
MTD	-0.12%	1.53%
3M	-2.3%	4.96%
6M	-10.64%	10.53%
YTD	-12.35%	10.44%
1Y	14.71%	21.66%
3Y (ann.)	6.06%	19.56%
5Y (ann.)	6.06%	19.56%
10Y (ann.)	6.06%	19.56%
All-time (ann.)	6.06%	19.56%
Best Day	5.69%	0.11%
Worst Day	-3.97%	0.0%
Best Month	18.88%	1.83%
Worst Month	-6.28%	0.89%
Best Year	25.52%	18.74%
Worst Year	-12.35%	3.29%
Avg. Drawdown	-3.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.72	-
Ulcer Index	0.06	0.0
Serenity Index	0.18	-
Avg. Up Month	4.49%	1.43%
Avg. Down Month	-	-
Win Days	49.06%	100.0%
Win Month	42.86%	100.0%
Win Quarter	57.14%	100.0%
Win Year	66.67%	100.0%
Beta	-0.21	-
Alpha	0.12	-
Correlation	-0.21%	-
Treynor Ratio	-50.77%	-