TSPX RUB[Strategy] vs Deposit RUB[Benchmark]

24 Feb, 2025 - 17 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	18.13%	22.4%
CAGR﹪	15.7%	19.35%
Sharpe	1.38	32.21
Prob. Sharpe Ratio	93.13%	100.0%
Smart Sharpe	1.33	30.99
Sortino	2.06	-
Smart Sortino	1.98	-
Sortino/√2	1.46	-
Smart Sortino/√2	1.4	-
Omega	1.28	1.28
Max Drawdown	-8.14%	-
Longest DD Days	-	-
Volatility (ann.)	10.97%	0.55%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	1.93	-
Skew	0.25	7.06
Kurtosis	4.59	54.5
Expected Daily	0.06%	0.07%
Expected Monthly	1.12%	1.36%
Expected Yearly	8.69%	10.63%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-0.01%
Expected Shortfall (cVaR)	-1.08%	-0.01%
Max Consecutive Wins	9	288
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.28	-
Gain/Pain (1M)	2.19	-
Payoff Ratio	-	-
Profit Factor	1.28	-
Common Sense Ratio	1.14	-
CPC Index	-	-
Tail Ratio	0.89	1.82
Outlier Win Ratio	2.52	16.38
Outlier Loss Ratio	1.52	-
MTD	7.03%	1.12%
3M	2.32%	4.02%
6M	4.13%	8.09%
YTD	3.18%	4.72%
1Y	24.04%	17.61%
3Y (ann.)	15.7%	19.35%
5Y (ann.)	15.7%	19.35%
10Y (ann.)	15.7%	19.35%
All-time (ann.)	15.7%	19.35%
Best Day	3.97%	0.35%
Worst Day	-2.65%	0.0%
Best Month	7.03%	1.69%
Worst Month	-3.82%	1.12%
Best Year	14.49%	16.89%
Worst Year	3.18%	4.72%
Avg. Drawdown	-1.41%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.23	-
Ulcer Index	0.02	0.0
Serenity Index	1.32	-
Avg. Up Month	2.3%	1.37%
Avg. Down Month	-	-
Win Days	59.07%	100.0%
Win Month	73.33%	100.0%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	0.87	-
Alpha	-0.0	-
Correlation	4.35%	-
Treynor Ratio	20.82%	-