SIPO RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 26 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-36.09%	43.42%
CAGR﹪	-19.24%	18.77%
Sharpe	-0.77	45.8
Prob. Sharpe Ratio	12.4%	100.0%
Smart Sharpe	-0.69	41.27
Sortino	-1.07	-
Smart Sortino	-0.96	-
Sortino/√2	-0.75	-
Smart Sortino/√2	-0.68	-
Omega	0.87	0.87
Max Drawdown	-46.83%	-
Longest DD Days	-	-
Volatility (ann.)	22.13%	0.34%
R^2	0.0	0.0
Information Ratio	-0.09	-0.09
Calmar	-0.41	-
Skew	0.36	1.62
Kurtosis	4.27	7.62
Expected Daily	-0.08%	0.06%
Expected Monthly	-1.71%	1.4%
Expected Yearly	-13.86%	12.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.36%	-0.03%
Expected Shortfall (cVaR)	-2.36%	-0.03%
Max Consecutive Wins	8	578
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.13	-
Gain/Pain (1M)	-0.44	-
Payoff Ratio	-	-
Profit Factor	0.87	-
Common Sense Ratio	0.74	-
CPC Index	-	-
Tail Ratio	0.85	2.52
Outlier Win Ratio	2.14	32.38
Outlier Loss Ratio	1.84	-
MTD	-2.5%	1.07%
3M	-10.76%	3.48%
6M	-17.78%	6.84%
YTD	-8.75%	9.25%
1Y	-19.75%	15.28%
3Y (ann.)	-19.24%	18.77%
5Y (ann.)	-19.24%	18.77%
10Y (ann.)	-19.24%	18.77%
All-time (ann.)	-19.24%	18.77%
Best Day	8.63%	0.18%
Worst Day	-5.85%	0.0%
Best Month	13.45%	1.83%
Worst Month	-14.74%	1.06%
Best Year	-8.75%	19.38%
Worst Year	-18.73%	9.25%
Avg. Drawdown	-46.83%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.77	-
Ulcer Index	0.26	0.0
Serenity Index	-0.05	-
Avg. Up Month	3.69%	1.4%
Avg. Down Month	-	-
Win Days	47.99%	100.0%
Win Month	50.0%	100.0%
Win Quarter	22.22%	100.0%
Win Year	0.0%	100.0%
Beta	0.42	-
Alpha	-0.24	-
Correlation	0.65%	-
Treynor Ratio	-86.55%	-