SPAY RUB[Strategy] vs Deposit RUB[Benchmark]

10 Jul, 2025 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	2.04%	5.28%
CAGR﹪	7.74%	20.89%
Sharpe	2.16	63.07
Prob. Sharpe Ratio	79.81%	100.0%
Smart Sharpe	2.12	61.94
Sortino	2.3	-
Smart Sortino	2.26	-
Sortino/√2	1.63	-
Smart Sortino/√2	1.6	-
Omega	1.87	1.87
Max Drawdown	-1.19%	-
Longest DD Days	-	-
Volatility (ann.)	3.31%	0.29%
R^2	0.02	0.02
Information Ratio	-0.21	-0.21
Calmar	6.52	-
Skew	-5.48	-0.34
Kurtosis	30.44	1.9
Expected Daily	0.03%	0.07%
Expected Monthly	0.51%	1.29%
Expected Yearly	2.04%	5.28%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.31%	-0.04%
Expected Shortfall (cVaR)	-0.31%	-0.04%
Max Consecutive Wins	31	71
Max Consecutive Losses	1	0
Gain/Pain Ratio	0.87	-
Gain/Pain (1M)	90.82	-
Payoff Ratio	-	-
Profit Factor	1.87	-
Common Sense Ratio	51.21	-
CPC Index	-	-
Tail Ratio	27.42	1.68
Outlier Win Ratio	2.16	1.92
Outlier Loss Ratio	0.72	-
MTD	0.9%	1.29%
3M	1.75%	4.92%
6M	2.04%	5.28%
YTD	2.04%	5.28%
1Y	2.04%	5.28%
3Y (ann.)	7.74%	20.89%
5Y (ann.)	7.74%	20.89%
10Y (ann.)	7.74%	20.89%
All-time (ann.)	7.74%	20.89%
Best Day	0.18%	0.1%
Worst Day	-1.19%	0.0%
Best Month	0.97%	1.31%
Worst Month	-0.03%	1.28%
Best Year	2.04%	5.28%
Worst Year	2.04%	5.28%
Avg. Drawdown	-0.78%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.72	-
Ulcer Index	0.01	0.0
Serenity Index	0.89	-
Avg. Up Month	0.69%	1.29%
Avg. Down Month	-	-
Win Days	95.77%	100.0%
Win Month	75.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.52	-
Alpha	-0.2	-
Correlation	13.14%	-
Treynor Ratio	1.34%	-