WFUT RUB[Strategy] vs Deposit RUB[Benchmark]

9 Oct, 2026 - 14 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	75.0%	75.0%
Cumulative Return	-1.42%	0.81%
CAGR﹪	-64.89%	80.84%
Sharpe	-6.7	23.81
Prob. Sharpe Ratio	12.79%	86.2%
Smart Sharpe	-4.26	15.12
Sortino	-7.12	-
Smart Sortino	-4.52	-
Sortino/√2	-5.03	-
Smart Sortino/√2	-3.2	-
Omega	0.2	0.2
Max Drawdown	-1.76%	-
Longest DD Days	-	-
Volatility (ann.)	13.35%	2.15%
R^2	0.08	0.08
Information Ratio	-0.63	-0.63
Calmar	-36.82	-
Skew	-1.58	-2.0
Kurtosis	2.8	4.0
Expected Daily	-0.36%	0.2%
Expected Monthly	-1.42%	0.81%
Expected Yearly	-1.42%	0.81%
Kelly Criterion	-	-
Risk of Ruin	0.06%	0.0%
Daily Value-at-Risk	-1.74%	-0.02%
Expected Shortfall (cVaR)	-1.74%	-0.02%
Max Consecutive Wins	1	3
Max Consecutive Losses	2	0
Gain/Pain Ratio	-0.8	-
Gain/Pain (1M)	-1.0	-
Payoff Ratio	-	-
Profit Factor	0.2	-
Common Sense Ratio	0.04	-
CPC Index	-	-
Tail Ratio	0.21	6.67
Outlier Win Ratio	1.76	1.49
Outlier Loss Ratio	0.86	-
MTD	-1.42%	0.81%
3M	-1.42%	0.81%
6M	-1.42%	0.81%
YTD	-1.42%	0.81%
1Y	-1.42%	0.81%
3Y (ann.)	-64.89%	80.84%
5Y (ann.)	-64.89%	80.84%
10Y (ann.)	-64.89%	80.84%
All-time (ann.)	-64.89%	80.84%
Best Day	0.34%	0.27%
Worst Day	-1.57%	0.0%
Best Month	-1.42%	0.81%
Worst Month	-1.42%	0.81%
Best Year	-1.42%	0.81%
Worst Year	-1.42%	0.81%
Avg. Drawdown	-1.76%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.81	-
Ulcer Index	0.01	0.0
Serenity Index	-0.4	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	33.33%	100.0%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-1.75	-
Alpha	0.0	-
Correlation	-28.14%	-
Treynor Ratio	0.81%	-