SIPO RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 30 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-18.73%	10.01%
CAGR﹪	-37.51%	24.15%
Sharpe	-1.4	49.33
Prob. Sharpe Ratio	18.42%	100.0%
Smart Sharpe	-1.1	38.97
Sortino	-2.07	-
Smart Sortino	-1.64	-
Sortino/√2	-1.46	-
Smart Sortino/√2	-1.16	-
Omega	0.78	0.78
Max Drawdown	-33.89%	-
Longest DD Days	-	-
Volatility (ann.)	29.01%	0.42%
R^2	0.0	0.0
Information Ratio	-0.13	-0.13
Calmar	-1.11	-
Skew	1.17	2.64
Kurtosis	4.62	8.94
Expected Daily	-0.18%	0.08%
Expected Monthly	-3.4%	1.6%
Expected Yearly	-18.73%	10.01%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.17%	-0.04%
Expected Shortfall (cVaR)	-3.17%	-0.04%
Max Consecutive Wins	4	116
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.22	-
Gain/Pain (1M)	-0.48	-
Payoff Ratio	-	-
Profit Factor	0.78	-
Common Sense Ratio	0.73	-
CPC Index	-	-
Tail Ratio	0.94	2.69
Outlier Win Ratio	1.92	33.59
Outlier Loss Ratio	1.63	-
MTD	13.45%	1.86%
3M	-9.85%	5.53%
6M	-18.73%	10.01%
YTD	-18.73%	10.01%
1Y	-18.73%	10.01%
3Y (ann.)	-37.51%	24.15%
5Y (ann.)	-37.51%	24.15%
10Y (ann.)	-37.51%	24.15%
All-time (ann.)	-37.51%	24.15%
Best Day	8.63%	0.18%
Worst Day	-4.23%	0.0%
Best Month	13.45%	1.86%
Worst Month	-14.74%	1.25%
Best Year	-18.73%	10.01%
Worst Year	-18.73%	10.01%
Avg. Drawdown	-33.89%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.55	-
Ulcer Index	0.2	0.0
Serenity Index	-0.05	-
Avg. Up Month	10.01%	1.71%
Avg. Down Month	-	-
Win Days	39.66%	100.0%
Win Month	33.33%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.28	-
Alpha	-0.46	-
Correlation	0.4%	-
Treynor Ratio	-67.49%	-