SIPO RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 18 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-19.03%	17.73%
CAGR﹪	-24.83%	24.69%
Sharpe	-0.86	59.59
Prob. Sharpe Ratio	23.27%	100.0%
Smart Sharpe	-0.77	53.48
Sortino	-1.26	-
Smart Sortino	-1.13	-
Sortino/√2	-0.89	-
Smart Sortino/√2	-0.8	-
Omega	0.86	0.86
Max Drawdown	-33.89%	-
Longest DD Days	-	-
Volatility (ann.)	27.84%	0.36%
R^2	0.0	0.0
Information Ratio	-0.1	-0.1
Calmar	-0.73	-
Skew	0.8	2.33
Kurtosis	3.29	8.77
Expected Daily	-0.11%	0.09%
Expected Monthly	-2.09%	1.65%
Expected Yearly	-10.02%	8.5%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.98%	-0.05%
Expected Shortfall (cVaR)	-2.98%	-0.05%
Max Consecutive Wins	5	191
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.14	-
Gain/Pain (1M)	-0.39	-
Payoff Ratio	-	-
Profit Factor	0.86	-
Common Sense Ratio	0.83	-
CPC Index	-	-
Tail Ratio	0.96	1.8
Outlier Win Ratio	1.71	28.03
Outlier Loss Ratio	1.65	-
MTD	-4.77%	1.67%
3M	-5.45%	6.12%
6M	-4.3%	11.8%
YTD	-0.37%	7.07%
1Y	-19.03%	17.73%
3Y (ann.)	-24.83%	24.69%
5Y (ann.)	-24.83%	24.69%
10Y (ann.)	-24.83%	24.69%
All-time (ann.)	-24.83%	24.69%
Best Day	8.63%	0.18%
Worst Day	-5.04%	0.0%
Best Month	13.45%	1.83%
Worst Month	-14.74%	1.25%
Best Year	-0.37%	9.96%
Worst Year	-18.73%	7.07%
Avg. Drawdown	-33.89%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.56	-
Ulcer Index	0.18	0.0
Serenity Index	-0.06	-
Avg. Up Month	7.06%	1.72%
Avg. Down Month	-	-
Win Days	42.93%	100.0%
Win Month	40.0%	100.0%
Win Quarter	25.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.45	-
Alpha	-0.14	-
Correlation	-0.58%	-
Treynor Ratio	42.15%	-