TMON RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2023 - 6 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	51.59%	52.34%
CAGR﹪	17.53%	17.76%
Sharpe	10.12	75.45
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	6.5	48.46
Sortino	24.54	-
Smart Sortino	15.76	-
Sortino/√2	17.35	-
Smart Sortino/√2	11.14	-
Omega	5.59	5.59
Max Drawdown	-0.28%	-
Longest DD Days	-	-
Volatility (ann.)	1.58%	0.21%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	62.58	-
Skew	0.08	-0.25
Kurtosis	0.8	0.18
Expected Daily	0.06%	0.06%
Expected Monthly	1.31%	1.32%
Expected Yearly	10.96%	11.1%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.1%	-0.04%
Expected Shortfall (cVaR)	-0.1%	-0.04%
Max Consecutive Wins	32	654
Max Consecutive Losses	2	0
Gain/Pain Ratio	4.59	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.59	-
Common Sense Ratio	13.7	-
CPC Index	-	-
Tail Ratio	2.45	2.15
Outlier Win Ratio	2.08	3.12
Outlier Loss Ratio	1.07	-
MTD	0.38%	0.36%
3M	3.92%	4.04%
6M	8.14%	8.14%
YTD	1.4%	1.61%
1Y	19.05%	18.86%
3Y (ann.)	17.53%	17.76%
5Y (ann.)	17.53%	17.76%
10Y (ann.)	17.53%	17.76%
All-time (ann.)	17.53%	17.76%
Best Day	0.38%	0.09%
Worst Day	-0.28%	0.0%
Best Month	1.85%	1.83%
Worst Month	0.29%	0.36%
Best Year	19.38%	19.38%
Worst Year	1.4%	1.61%
Avg. Drawdown	-0.08%	-
Avg. Drawdown Days	-	-
Recovery Factor	184.15	-
Ulcer Index	0.0	0.0
Serenity Index	1283.55	-
Avg. Up Month	1.31%	1.32%
Avg. Down Month	-	-
Win Days	79.5%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.83	-
Alpha	0.03	-
Correlation	11.31%	-
Treynor Ratio	61.85%	-