SIPO RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 1 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-31.61%	28.04%
CAGR﹪	-25.69%	21.31%
Sharpe	-1.06	63.43
Prob. Sharpe Ratio	11.87%	100.0%
Smart Sharpe	-0.96	57.62
Sortino	-1.5	-
Smart Sortino	-1.36	-
Sortino/√2	-1.06	-
Smart Sortino/√2	-0.97	-
Omega	0.84	0.84
Max Drawdown	-34.27%	-
Longest DD Days	-	-
Volatility (ann.)	24.57%	0.3%
R^2	0.0	0.0
Information Ratio	-0.12	-0.12
Calmar	-0.75	-
Skew	0.67	3.13
Kurtosis	3.44	17.09
Expected Daily	-0.12%	0.07%
Expected Monthly	-2.21%	1.46%
Expected Yearly	-17.3%	13.15%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-0.04%
Expected Shortfall (cVaR)	-2.65%	-0.04%
Max Consecutive Wins	6	329
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.16	-
Gain/Pain (1M)	-0.51	-
Payoff Ratio	-	-
Profit Factor	0.84	-
Common Sense Ratio	0.75	-
CPC Index	-	-
Tail Ratio	0.89	1.59
Outlier Win Ratio	1.96	30.37
Outlier Loss Ratio	1.63	-
MTD	0.13%	0.06%
3M	-12.61%	4.0%
6M	-12.9%	8.77%
YTD	-15.84%	16.44%
1Y	-10.89%	20.71%
3Y (ann.)	-25.69%	21.31%
5Y (ann.)	-25.69%	21.31%
10Y (ann.)	-25.69%	21.31%
All-time (ann.)	-25.69%	21.31%
Best Day	8.63%	0.18%
Worst Day	-5.04%	0.0%
Best Month	13.45%	1.83%
Worst Month	-14.74%	0.06%
Best Year	-15.84%	16.44%
Worst Year	-18.73%	9.96%
Avg. Drawdown	-34.27%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.92	-
Ulcer Index	0.21	0.0
Serenity Index	-0.07	-
Avg. Up Month	4.02%	1.4%
Avg. Down Month	-	-
Win Days	44.79%	100.0%
Win Month	47.06%	100.0%
Win Quarter	16.67%	100.0%
Win Year	0.0%	100.0%
Beta	1.42	-
Alpha	-0.53	-
Correlation	1.72%	-
Treynor Ratio	-22.23%	-