RSHU RUB[Strategy] vs Deposit RUB[Benchmark]

19 Oct, 2023 - 28 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	13.95%	44.56%
CAGR﹪	6.38%	19.06%
Sharpe	0.4	87.8
Prob. Sharpe Ratio	72.34%	100.0%
Smart Sharpe	0.39	85.72
Sortino	0.62	-
Smart Sortino	0.6	-
Sortino/√2	0.44	-
Smart Sortino/√2	0.43	-
Omega	1.08	1.08
Max Drawdown	-14.69%	-
Longest DD Days	-	-
Volatility (ann.)	20.16%	0.2%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.43	-
Skew	0.61	0.5
Kurtosis	3.02	2.0
Expected Daily	0.02%	0.07%
Expected Monthly	0.5%	1.43%
Expected Yearly	4.45%	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	539
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.08	-
Gain/Pain (1M)	0.56	-
Payoff Ratio	-	-
Profit Factor	1.08	-
Common Sense Ratio	1.16	-
CPC Index	-	-
Tail Ratio	1.07	1.65
Outlier Win Ratio	2.35	30.14
Outlier Loss Ratio	1.94	-
MTD	-1.3%	1.29%
3M	-4.88%	4.05%
6M	3.6%	8.62%
YTD	-9.62%	17.87%
1Y	-2.96%	20.21%
3Y (ann.)	6.38%	19.06%
5Y (ann.)	6.38%	19.06%
10Y (ann.)	6.38%	19.06%
All-time (ann.)	6.38%	19.06%
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	-9.62%	3.29%
Avg. Drawdown	-3.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.95	-
Ulcer Index	0.07	0.0
Serenity Index	0.21	-
Avg. Up Month	4.4%	1.42%
Avg. Down Month	-	-
Win Days	50.19%	100.0%
Win Month	42.31%	100.0%
Win Quarter	55.56%	100.0%
Win Year	66.67%	100.0%
Beta	-0.09	-
Alpha	0.1	-
Correlation	-0.08%	-
Treynor Ratio	-160.23%	-