SCLI RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 16 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	98.0%
Cumulative Return	2.56%	4.23%
CAGR﹪	17.89%	31.01%
Sharpe	5.53	34.0
Prob. Sharpe Ratio	95.95%	-
Smart Sharpe	3.63	22.35
Sortino	8.7	-
Smart Sortino	5.72	-
Sortino/√2	6.15	-
Smart Sortino/√2	4.04	-
Omega	4.42	4.42
Max Drawdown	-0.72%	-
Longest DD Days	-	-
Volatility (ann.)	2.82%	0.75%
R^2	0.0	0.0
Information Ratio	-0.21	-0.21
Calmar	24.8	-
Skew	-0.36	0.35
Kurtosis	16.37	-1.0
Expected Daily	0.06%	0.1%
Expected Monthly	0.85%	1.39%
Expected Yearly	2.56%	4.23%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.23%	-0.02%
Expected Shortfall (cVaR)	-0.23%	-0.02%
Max Consecutive Wins	25	40
Max Consecutive Losses	1	0
Gain/Pain Ratio	3.42	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	4.42	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	2.69
Outlier Win Ratio	4.38	3.63
Outlier Loss Ratio	0.56	-
MTD	0.64%	1.47%
3M	2.56%	4.23%
6M	2.56%	4.23%
YTD	2.56%	4.23%
1Y	2.56%	4.23%
3Y (ann.)	17.89%	31.01%
5Y (ann.)	17.89%	31.01%
10Y (ann.)	17.89%	31.01%
All-time (ann.)	17.89%	31.01%
Best Day	0.8%	0.18%
Worst Day	-0.72%	0.0%
Best Month	1.47%	1.47%
Worst Month	0.43%	1.25%
Best Year	2.56%	4.23%
Worst Year	2.56%	4.23%
Avg. Drawdown	-0.37%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.55	-
Ulcer Index	0.0	0.0
Serenity Index	4.27	-
Avg. Up Month	0.85%	1.39%
Avg. Down Month	-	-
Win Days	94.74%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.02	-
Alpha	0.15	-
Correlation	0.42%	-
Treynor Ratio	163.56%	-