TOFZ RUB[Strategy] vs Deposit RUB[Benchmark]

9 Dec, 2024 - 3 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	32.87%	20.12%
CAGR﹪	33.5%	20.49%
Sharpe	2.31	77.67
Prob. Sharpe Ratio	99.16%	100.0%
Smart Sharpe	2.09	70.19
Sortino	3.89	-
Smart Sortino	3.52	-
Sortino/√2	2.75	-
Smart Sortino/√2	2.49	-
Omega	1.49	1.49
Max Drawdown	-7.57%	-
Longest DD Days	-	-
Volatility (ann.)	12.35%	0.23%
R^2	0.01	0.01
Information Ratio	0.05	0.05
Calmar	4.42	-
Skew	0.37	0.35
Kurtosis	2.1	1.76
Expected Daily	0.11%	0.07%
Expected Monthly	2.21%	1.42%
Expected Yearly	15.27%	9.6%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.17%	-0.05%
Expected Shortfall (cVaR)	-1.17%	-0.05%
Max Consecutive Wins	6	257
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.49	-
Gain/Pain (1M)	5.91	-
Payoff Ratio	-	-
Profit Factor	1.49	-
Common Sense Ratio	2.32	-
CPC Index	-	-
Tail Ratio	1.55	1.9
Outlier Win Ratio	1.89	16.09
Outlier Loss Ratio	1.55	-
MTD	0.3%	0.19%
3M	1.13%	4.01%
6M	13.15%	8.5%
YTD	22.45%	18.11%
1Y	32.87%	20.12%
3Y (ann.)	33.5%	20.49%
5Y (ann.)	33.5%	20.49%
10Y (ann.)	33.5%	20.49%
All-time (ann.)	33.5%	20.49%
Best Day	3.34%	0.11%
Worst Day	-2.54%	0.0%
Best Month	8.51%	1.79%
Worst Month	-2.95%	0.19%
Best Year	22.45%	18.11%
Worst Year	8.51%	1.7%
Avg. Drawdown	-1.4%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.34	-
Ulcer Index	0.03	0.0
Serenity Index	1.48	-
Avg. Up Month	3.43%	1.37%
Avg. Down Month	-	-
Win Days	53.33%	100.0%
Win Month	76.92%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	5.7	-
Alpha	-0.74	-
Correlation	10.64%	-
Treynor Ratio	5.77%	-