RSHU RUB[Strategy] vs Deposit RUB[Benchmark]

19 Oct, 2023 - 14 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	15.7%	44.54%
CAGR﹪	7.29%	19.44%
Sharpe	0.44	74.75
Prob. Sharpe Ratio	74.14%	100.0%
Smart Sharpe	0.43	73.16
Sortino	0.68	-
Smart Sortino	0.67	-
Sortino/√2	0.48	-
Smart Sortino/√2	0.47	-
Omega	1.09	1.09
Max Drawdown	-14.69%	-
Longest DD Days	-	-
Volatility (ann.)	20.23%	0.23%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.5	-
Skew	0.61	1.23
Kurtosis	3.03	3.77
Expected Daily	0.03%	0.07%
Expected Monthly	0.56%	1.43%
Expected Yearly	4.98%	13.07%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.06%	-0.05%
Expected Shortfall (cVaR)	-2.06%	-0.05%
Max Consecutive Wins	8	529
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.09	-
Gain/Pain (1M)	0.64	-
Payoff Ratio	-	-
Profit Factor	1.09	-
Common Sense Ratio	1.16	-
CPC Index	-	-
Tail Ratio	1.07	1.65
Outlier Win Ratio	2.34	29.73
Outlier Loss Ratio	1.95	-
MTD	0.23%	1.28%
3M	0.54%	4.68%
6M	3.62%	9.48%
YTD	-8.23%	17.85%
1Y	7.9%	21.24%
3Y (ann.)	7.29%	19.44%
5Y (ann.)	7.29%	19.44%
10Y (ann.)	7.29%	19.44%
All-time (ann.)	7.29%	19.44%
Best Day	5.69%	0.13%
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	-8.23%	3.29%
Avg. Drawdown	-3.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.07	-
Ulcer Index	0.07	0.0
Serenity Index	0.24	-
Avg. Up Month	4.06%	1.41%
Avg. Down Month	-	-
Win Days	50.0%	100.0%
Win Month	46.15%	100.0%
Win Quarter	55.56%	100.0%
Win Year	66.67%	100.0%
Beta	-0.19	-
Alpha	0.12	-
Correlation	-0.22%	-
Treynor Ratio	-81.63%	-