TOFZ RUB[Strategy] vs Deposit RUB[Benchmark]

9 Dec, 2024 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	17.62%	10.64%
CAGR﹪	41.12%	23.93%
Sharpe	2.49	85.11
Prob. Sharpe Ratio	96.75%	100.0%
Smart Sharpe	2.49	85.02
Sortino	4.43	-
Smart Sortino	4.43	-
Sortino/√2	3.13	-
Smart Sortino/√2	3.13	-
Omega	1.56	1.56
Max Drawdown	-7.57%	-
Longest DD Days	-	-
Volatility (ann.)	13.39%	0.24%
R^2	0.01	0.01
Information Ratio	0.06	0.06
Calmar	5.43	-
Skew	0.67	-0.99
Kurtosis	2.57	5.43
Expected Daily	0.13%	0.08%
Expected Monthly	2.74%	1.7%
Expected Yearly	8.45%	5.18%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.26%	-0.06%
Expected Shortfall (cVaR)	-1.26%	-0.06%
Max Consecutive Wins	6	125
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.56	-
Gain/Pain (1M)	8.31	-
Payoff Ratio	-	-
Profit Factor	1.56	-
Common Sense Ratio	2.75	-
CPC Index	-	-
Tail Ratio	1.76	1.7
Outlier Win Ratio	2.28	18.07
Outlier Loss Ratio	1.57	-
MTD	2.24%	1.63%
3M	5.51%	5.14%
6M	17.62%	10.64%
YTD	8.39%	8.79%
1Y	17.62%	10.64%
3Y (ann.)	41.12%	23.93%
5Y (ann.)	41.12%	23.93%
10Y (ann.)	41.12%	23.93%
All-time (ann.)	41.12%	23.93%
Best Day	3.34%	0.11%
Worst Day	-2.49%	0.0%
Best Month	8.51%	1.79%
Worst Month	-1.55%	1.63%
Best Year	8.51%	8.79%
Worst Year	8.39%	1.7%
Avg. Drawdown	-1.4%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.33	-
Ulcer Index	0.04	0.0
Serenity Index	0.6	-
Avg. Up Month	4.71%	1.69%
Avg. Down Month	-	-
Win Days	54.31%	100.0%
Win Month	66.67%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	6.44	-
Alpha	-0.97	-
Correlation	11.44%	-
Treynor Ratio	2.73%	-