TMON RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2023 - 22 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	45.18%	46.16%
CAGR﹪	17.74%	18.09%
Sharpe	9.8	72.21
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	6.33	46.62
Sortino	23.58	-
Smart Sortino	15.22	-
Sortino/√2	16.67	-
Smart Sortino/√2	10.76	-
Omega	5.24	5.24
Max Drawdown	-0.28%	-
Longest DD Days	-	-
Volatility (ann.)	1.64%	0.23%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	63.34	-
Skew	0.06	-0.34
Kurtosis	0.61	-0.05
Expected Daily	0.06%	0.07%
Expected Monthly	1.34%	1.36%
Expected Yearly	13.23%	13.49%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.11%	-0.04%
Expected Shortfall (cVaR)	-0.11%	-0.04%
Max Consecutive Wins	25	583
Max Consecutive Losses	2	0
Gain/Pain Ratio	4.24	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.24	-
Common Sense Ratio	12.21	-
CPC Index	-	-
Tail Ratio	2.33	2.15
Outlier Win Ratio	2.02	3.12
Outlier Loss Ratio	1.09	-
MTD	0.87%	1.29%
3M	4.2%	4.44%
6M	9.5%	9.28%
YTD	15.93%	16.38%
1Y	20.67%	21.35%
3Y (ann.)	17.74%	18.09%
5Y (ann.)	17.74%	18.09%
10Y (ann.)	17.74%	18.09%
All-time (ann.)	17.74%	18.09%
Best Day	0.38%	0.09%
Worst Day	-0.28%	0.0%
Best Month	1.85%	1.83%
Worst Month	0.29%	0.63%
Best Year	18.23%	18.74%
Worst Year	5.92%	5.77%
Avg. Drawdown	-0.08%	-
Avg. Drawdown Days	-	-
Recovery Factor	161.27	-
Ulcer Index	0.0	0.0
Serenity Index	1060.65	-
Avg. Up Month	1.34%	1.37%
Avg. Down Month	-	-
Win Days	78.01%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.8	-
Alpha	0.03	-
Correlation	11.03%	-
Treynor Ratio	56.57%	-