STME RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2025 - 3 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	98.0%
Cumulative Return	0.37%	2.65%
CAGR﹪	2.21%	16.66%
Sharpe	0.2	100.03
Prob. Sharpe Ratio	53.4%	98.35%
Smart Sharpe	0.14	71.21
Sortino	0.28	-
Smart Sortino	0.2	-
Sortino/√2	0.2	-
Smart Sortino/√2	0.14	-
Omega	1.05	1.05
Max Drawdown	-9.52%	-
Longest DD Days	-	-
Volatility (ann.)	23.87%	0.14%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.23	-
Skew	-0.25	-5.76
Kurtosis	10.67	36.85
Expected Daily	0.01%	0.06%
Expected Monthly	0.12%	0.88%
Expected Yearly	0.37%	2.65%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.45%	-0.04%
Expected Shortfall (cVaR)	-2.45%	-0.04%
Max Consecutive Wins	5	45
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.42	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	0.83	-
CPC Index	-	-
Tail Ratio	0.79	1.1
Outlier Win Ratio	3.4	38.29
Outlier Loss Ratio	1.86	-
MTD	2.8%	0.11%
3M	0.37%	2.65%
6M	0.37%	2.65%
YTD	0.37%	2.65%
1Y	0.37%	2.65%
3Y (ann.)	2.21%	16.66%
5Y (ann.)	2.21%	16.66%
10Y (ann.)	2.21%	16.66%
All-time (ann.)	2.21%	16.66%
Best Day	5.94%	0.06%
Worst Day	-6.2%	0.0%
Best Month	2.8%	1.29%
Worst Month	-2.48%	0.11%
Best Year	0.37%	2.65%
Worst Year	0.37%	2.65%
Avg. Drawdown	-7.37%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.04	-
Ulcer Index	0.03	0.0
Serenity Index	0.04	-
Avg. Up Month	1.46%	0.7%
Avg. Down Month	-	-
Win Days	60.0%	100.0%
Win Month	66.67%	100.0%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%
Beta	-3.59	-
Alpha	0.56	-
Correlation	-2.15%	-
Treynor Ratio	-0.1%	-