RSHU RUB[Strategy] vs Deposit RUB[Benchmark]

19 Oct, 2023 - 3 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	12.99%	50.14%
CAGR﹪	5.28%	18.68%
Sharpe	0.36	90.14
Prob. Sharpe Ratio	71.01%	100.0%
Smart Sharpe	0.34	85.52
Sortino	0.54	-
Smart Sortino	0.51	-
Sortino/√2	0.38	-
Smart Sortino/√2	0.36	-
Omega	1.07	1.07
Max Drawdown	-14.69%	-
Longest DD Days	-	-
Volatility (ann.)	19.86%	0.19%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.36	-
Skew	0.53	0.59
Kurtosis	3.02	2.27
Expected Daily	0.02%	0.07%
Expected Monthly	0.41%	1.36%
Expected Yearly	3.1%	10.69%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.03%	-0.05%
Expected Shortfall (cVaR)	-2.03%	-0.05%
Max Consecutive Wins	8	599
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.07	-
Gain/Pain (1M)	0.48	-
Payoff Ratio	-	-
Profit Factor	1.07	-
Common Sense Ratio	1.13	-
CPC Index	-	-
Tail Ratio	1.06	1.61
Outlier Win Ratio	2.41	30.27
Outlier Loss Ratio	1.94	-
MTD	-1.03%	0.12%
3M	0.57%	3.73%
6M	-5.71%	7.8%
YTD	-2.07%	2.54%
1Y	-2.37%	18.22%
3Y (ann.)	5.28%	18.68%
5Y (ann.)	5.28%	18.68%
10Y (ann.)	5.28%	18.68%
All-time (ann.)	5.28%	18.68%
Best Day	5.69%	0.11%
Worst Day	-3.97%	0.0%
Best Month	18.88%	1.83%
Worst Month	-6.28%	0.12%
Best Year	25.52%	19.38%
Worst Year	-8.48%	2.54%
Avg. Drawdown	-3.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.88	-
Ulcer Index	0.07	0.0
Serenity Index	0.17	-
Avg. Up Month	3.97%	1.39%
Avg. Down Month	-	-
Win Days	50.51%	100.0%
Win Month	43.33%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.35	-
Alpha	0.13	-
Correlation	-0.34%	-
Treynor Ratio	-36.7%	-