TOFZ RUB[Strategy] vs Deposit RUB[Benchmark]

9 Dec, 2024 - 13 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	35.15%	30.49%
CAGR﹪	20.83%	18.2%
Sharpe	1.65	58.32
Prob. Sharpe Ratio	98.55%	-
Smart Sharpe	1.44	50.84
Sortino	2.66	-
Smart Sortino	2.32	-
Sortino/√2	1.88	-
Smart Sortino/√2	1.64	-
Omega	1.34	1.34
Max Drawdown	-7.74%	-
Longest DD Days	-	-
Volatility (ann.)	11.14%	0.27%
R^2	0.01	0.01
Information Ratio	0.02	0.02
Calmar	2.69	-
Skew	0.33	0.36
Kurtosis	2.51	0.24
Expected Daily	0.07%	0.06%
Expected Monthly	1.52%	1.34%
Expected Yearly	10.56%	9.28%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-0.03%
Expected Shortfall (cVaR)	-1.08%	-0.03%
Max Consecutive Wins	6	425
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.34	-
Gain/Pain (1M)	3.15	-
Payoff Ratio	-	-
Profit Factor	1.34	-
Common Sense Ratio	1.73	-
CPC Index	-	-
Tail Ratio	1.3	2.35
Outlier Win Ratio	1.8	15.48
Outlier Loss Ratio	1.62	-
MTD	0.22%	0.49%
3M	-3.33%	3.37%
6M	0.74%	7.17%
YTD	0.59%	7.47%
1Y	8.51%	15.55%
3Y (ann.)	20.83%	18.2%
5Y (ann.)	20.83%	18.2%
10Y (ann.)	20.83%	18.2%
All-time (ann.)	20.83%	18.2%
Best Day	3.34%	0.11%
Worst Day	-2.54%	0.0%
Best Month	8.51%	1.79%
Worst Month	-4.35%	0.49%
Best Year	23.81%	19.38%
Worst Year	0.59%	1.7%
Avg. Drawdown	-1.29%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.54	-
Ulcer Index	0.03	0.0
Serenity Index	1.83	-
Avg. Up Month	2.94%	1.34%
Avg. Down Month	-	-
Win Days	51.37%	100.0%
Win Month	70.0%	100.0%
Win Quarter	87.5%	100.0%
Win Year	100.0%	100.0%
Beta	4.97	-
Alpha	-0.6	-
Correlation	12.05%	-
Treynor Ratio	7.07%	-