TSPX RUB[Strategy] vs Deposit RUB[Benchmark]

24 Feb, 2025 - 30 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	15.44%	18.33%
CAGR﹪	16.67%	19.81%
Sharpe	1.49	30.41
Prob. Sharpe Ratio	92.6%	100.0%
Smart Sharpe	1.41	28.7
Sortino	2.21	-
Smart Sortino	2.08	-
Sortino/√2	1.56	-
Smart Sortino/√2	1.47	-
Omega	1.32	1.32
Max Drawdown	-6.89%	-
Longest DD Days	-	-
Volatility (ann.)	10.66%	0.59%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	2.42	-
Skew	0.22	6.76
Kurtosis	6.27	47.92
Expected Daily	0.06%	0.07%
Expected Monthly	1.2%	1.41%
Expected Yearly	7.44%	8.78%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-0.01%
Expected Shortfall (cVaR)	-1.04%	-0.01%
Max Consecutive Wins	9	235
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.32	-
Gain/Pain (1M)	4.19	-
Payoff Ratio	-	-
Profit Factor	1.32	-
Common Sense Ratio	1.18	-
CPC Index	-	-
Tail Ratio	0.9	1.44
Outlier Win Ratio	2.21	13.16
Outlier Loss Ratio	1.74	-
MTD	0.83%	1.24%
3M	-1.16%	3.98%
6M	5.25%	8.09%
YTD	0.83%	1.24%
1Y	15.44%	18.33%
3Y (ann.)	16.67%	19.81%
5Y (ann.)	16.67%	19.81%
10Y (ann.)	16.67%	19.81%
All-time (ann.)	16.67%	19.81%
Best Day	3.97%	0.35%
Worst Day	-2.65%	0.0%
Best Month	4.57%	1.69%
Worst Month	-1.91%	1.24%
Best Year	14.49%	16.89%
Worst Year	0.83%	1.24%
Avg. Drawdown	-1.22%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.24	-
Ulcer Index	0.02	0.0
Serenity Index	2.09	-
Avg. Up Month	1.82%	1.4%
Avg. Down Month	-	-
Win Days	60.26%	100.0%
Win Month	83.33%	100.0%
Win Quarter	80.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.14	-
Alpha	0.13	-
Correlation	0.78%	-
Treynor Ratio	109.71%	-