YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 19 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	10.0%	60.7%
CAGR﹪	3.23%	17.11%
Sharpe	0.25	65.2
Prob. Sharpe Ratio	67.04%	-
Smart Sharpe	0.18	47.74
Sortino	0.38	-
Smart Sortino	0.27	-
Sortino/√2	0.27	-
Smart Sortino/√2	0.19	-
Omega	1.06	1.06
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	25.42%	0.24%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.15	-
Skew	2.63	-0.26
Kurtosis	139.51	-0.15
Expected Daily	0.01%	0.06%
Expected Monthly	0.26%	1.29%
Expected Yearly	2.41%	12.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.61%	-0.04%
Expected Shortfall (cVaR)	-2.61%	-0.04%
Max Consecutive Wins	7	761
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.42	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.1	-
CPC Index	-	-
Tail Ratio	1.03	2.7
Outlier Win Ratio	1.75	22.18
Outlier Loss Ratio	1.9	-
MTD	-4.4%	1.09%
3M	-2.9%	3.73%
6M	-4.04%	7.73%
YTD	-5.14%	5.83%
1Y	-0.2%	17.08%
3Y (ann.)	2.17%	17.29%
5Y (ann.)	3.23%	17.11%
10Y (ann.)	3.23%	17.11%
All-time (ann.)	3.23%	17.11%
Best Day	26.44%	0.09%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.83%
Worst Month	-5.89%	0.57%
Best Year	12.96%	19.38%
Worst Year	-6.02%	5.83%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.46	-
Ulcer Index	0.12	0.0
Serenity Index	0.08	-
Avg. Up Month	2.93%	1.27%
Avg. Down Month	-	-
Win Days	51.99%	100.0%
Win Month	54.05%	100.0%
Win Quarter	61.54%	100.0%
Win Year	50.0%	100.0%
Beta	-4.59	-
Alpha	0.78	-
Correlation	-4.35%	-
Treynor Ratio	-2.18%	-