TOFZ RUB[Strategy] vs Deposit RUB[Benchmark]

9 Dec, 2024 - 22 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	34.06%	22.94%
CAGR﹪	29.9%	20.24%
Sharpe	2.21	72.15
Prob. Sharpe Ratio	99.22%	-
Smart Sharpe	1.98	64.77
Sortino	3.71	-
Smart Sortino	3.33	-
Sortino/√2	2.62	-
Smart Sortino/√2	2.36	-
Omega	1.47	1.47
Max Drawdown	-7.57%	-
Longest DD Days	-	-
Volatility (ann.)	11.9%	0.25%
R^2	0.01	0.01
Information Ratio	0.04	0.04
Calmar	3.95	-
Skew	0.4	0.51
Kurtosis	2.32	0.9
Expected Daily	0.1%	0.07%
Expected Monthly	2.12%	1.49%
Expected Yearly	10.26%	7.13%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.13%	-0.05%
Expected Shortfall (cVaR)	-1.13%	-0.05%
Max Consecutive Wins	6	288
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.47	-
Gain/Pain (1M)	5.85	-
Payoff Ratio	-	-
Profit Factor	1.47	-
Common Sense Ratio	2.25	-
CPC Index	-	-
Tail Ratio	1.54	1.9
Outlier Win Ratio	1.73	14.26
Outlier Loss Ratio	1.52	-
MTD	-0.22%	1.26%
3M	3.36%	4.34%
6M	4.15%	8.49%
YTD	-0.22%	1.26%
1Y	25.25%	19.61%
3Y (ann.)	29.9%	20.24%
5Y (ann.)	29.9%	20.24%
10Y (ann.)	29.9%	20.24%
All-time (ann.)	29.9%	20.24%
Best Day	3.34%	0.11%
Worst Day	-2.54%	0.0%
Best Month	8.51%	1.79%
Worst Month	-2.95%	1.26%
Best Year	23.81%	19.38%
Worst Year	-0.22%	1.26%
Avg. Drawdown	-1.26%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.5	-
Ulcer Index	0.03	0.0
Serenity Index	1.63	-
Avg. Up Month	3.55%	1.48%
Avg. Down Month	-	-
Win Days	52.77%	100.0%
Win Month	71.43%	100.0%
Win Quarter	83.33%	100.0%
Win Year	66.67%	100.0%
Beta	3.81	-
Alpha	-0.42	-
Correlation	7.99%	-
Treynor Ratio	8.95%	-