SPRN RUB[Strategy] vs Deposit RUB[Benchmark]

26 Mar, 2026 - 12 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	-2.67%	6.39%
CAGR﹪	-6.86%	17.66%
Sharpe	0.24	21.98
Prob. Sharpe Ratio	56.14%	100.0%
Smart Sharpe	0.15	13.49
Sortino	0.42	-
Smart Sortino	0.26	-
Sortino/√2	0.29	-
Smart Sortino/√2	0.18	-
Omega	1.12	1.12
Max Drawdown	-36.01%	-
Longest DD Days	-	-
Volatility (ann.)	72.27%	0.72%
R^2	0.02	0.02
Information Ratio	0.0	0.0
Calmar	-0.19	-
Skew	3.2	3.69
Kurtosis	50.08	14.54
Expected Daily	-0.03%	0.06%
Expected Monthly	-0.45%	1.04%
Expected Yearly	-2.67%	6.39%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-7.42%	-0.01%
Expected Shortfall (cVaR)	-7.42%	-0.01%
Max Consecutive Wins	8	97
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.12	-
Gain/Pain (1M)	0.72	-
Payoff Ratio	-	-
Profit Factor	1.12	-
Common Sense Ratio	1.54	-
CPC Index	-	-
Tail Ratio	1.38	2.89
Outlier Win Ratio	1.32	30.3
Outlier Loss Ratio	1.29	-
MTD	5.79%	1.07%
3M	-0.68%	4.02%
6M	-2.67%	6.39%
YTD	-2.67%	6.39%
1Y	-2.67%	6.39%
3Y (ann.)	-6.86%	17.66%
5Y (ann.)	-6.86%	17.66%
10Y (ann.)	-6.86%	17.66%
All-time (ann.)	-6.86%	17.66%
Best Day	35.86%	0.28%
Worst Day	-25.71%	0.0%
Best Month	5.79%	1.09%
Worst Month	-3.58%	0.85%
Best Year	-2.67%	6.39%
Worst Year	-2.67%	6.39%
Avg. Drawdown	-36.01%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.07	-
Ulcer Index	0.3	0.0
Serenity Index	-0.01	-
Avg. Up Month	2.38%	1.0%
Avg. Down Month	-	-
Win Days	45.36%	100.0%
Win Month	50.0%	100.0%
Win Quarter	66.67%	100.0%
Win Year	0.0%	100.0%
Beta	13.48	-
Alpha	-1.97	-
Correlation	13.52%	-
Treynor Ratio	-0.2%	-