TMON RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2023 - 15 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	60.47%	61.24%
CAGR﹪	17.01%	17.19%
Sharpe	10.48	74.95
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	6.78	48.49
Sortino	25.8	-
Smart Sortino	16.69	-
Sortino/√2	18.25	-
Smart Sortino/√2	11.81	-
Omega	6.18	6.18
Max Drawdown	-0.28%	-
Longest DD Days	-	-
Volatility (ann.)	1.49%	0.21%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	60.72	-
Skew	0.13	0.06
Kurtosis	1.2	0.02
Expected Daily	0.06%	0.06%
Expected Monthly	1.29%	1.3%
Expected Yearly	12.55%	12.69%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.09%	-0.04%
Expected Shortfall (cVaR)	-0.09%	-0.04%
Max Consecutive Wins	35	764
Max Consecutive Losses	2	0
Gain/Pain Ratio	5.18	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	6.18	-
Common Sense Ratio	15.55	-
CPC Index	-	-
Tail Ratio	2.52	2.15
Outlier Win Ratio	2.23	3.2
Outlier Loss Ratio	1.07	-
MTD	0.51%	0.56%
3M	3.28%	3.33%
6M	6.91%	7.08%
YTD	7.34%	7.54%
1Y	15.32%	15.56%
3Y (ann.)	17.42%	17.4%
5Y (ann.)	17.01%	17.19%
10Y (ann.)	17.01%	17.19%
All-time (ann.)	17.01%	17.19%
Best Day	0.38%	0.09%
Worst Day	-0.28%	0.0%
Best Month	1.85%	1.83%
Worst Month	0.29%	0.56%
Best Year	19.38%	19.38%
Worst Year	5.92%	5.77%
Avg. Drawdown	-0.07%	-
Avg. Drawdown Days	-	-
Recovery Factor	215.87	-
Ulcer Index	0.0	0.0
Serenity Index	1659.48	-
Avg. Up Month	1.29%	1.3%
Avg. Down Month	-	-
Win Days	81.6%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.85	-
Alpha	0.02	-
Correlation	11.95%	-
Treynor Ratio	71.44%	-