TDIV RUB[Strategy] vs Deposit RUB[Benchmark]

23 Nov, 2023 - 30 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	3.98%	61.72%
CAGR﹪	1.34%	17.78%
Sharpe	0.17	65.57
Prob. Sharpe Ratio	61.26%	100.0%
Smart Sharpe	0.16	63.82
Sortino	0.24	-
Smart Sortino	0.24	-
Sortino/√2	0.17	-
Smart Sortino/√2	0.17	-
Omega	1.03	1.03
Max Drawdown	-29.94%	-
Longest DD Days	-	-
Volatility (ann.)	20.21%	0.25%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.04	-
Skew	0.56	3.56
Kurtosis	4.51	26.22
Expected Daily	0.01%	0.06%
Expected Monthly	0.11%	1.34%
Expected Yearly	0.98%	12.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.08%	-0.04%
Expected Shortfall (cVaR)	-2.08%	-0.04%
Max Consecutive Wins	8	751
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.14	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	1.01	-
CPC Index	-	-
Tail Ratio	0.98	1.76
Outlier Win Ratio	2.06	27.54
Outlier Loss Ratio	1.59	-
MTD	8.75%	1.09%
3M	7.85%	3.38%
6M	1.66%	6.69%
YTD	1.66%	11.64%
1Y	10.24%	14.66%
3Y (ann.)	1.66%	17.6%
5Y (ann.)	1.34%	17.78%
10Y (ann.)	1.34%	17.78%
All-time (ann.)	1.34%	17.78%
Best Day	8.47%	0.19%
Worst Day	-4.29%	0.0%
Best Month	15.07%	1.83%
Worst Month	-11.31%	0.95%
Best Year	2.7%	19.38%
Worst Year	-0.2%	2.18%
Avg. Drawdown	-3.2%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.13	-
Ulcer Index	0.15	0.0
Serenity Index	0.01	-
Avg. Up Month	3.77%	1.33%
Avg. Down Month	-	-
Win Days	52.16%	100.0%
Win Month	58.33%	100.0%
Win Quarter	53.85%	100.0%
Win Year	50.0%	100.0%
Beta	0.78	-
Alpha	-0.09	-
Correlation	0.95%	-
Treynor Ratio	5.13%	-