YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 24 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	18.72%	57.28%
CAGR﹪	6.21%	17.23%
Sharpe	0.36	66.92
Prob. Sharpe Ratio	73.23%	-
Smart Sharpe	0.26	48.85
Sortino	0.54	-
Smart Sortino	0.39	-
Sortino/√2	0.38	-
Smart Sortino/√2	0.28	-
Omega	1.09	1.09
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	25.96%	0.24%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.29	-
Skew	2.59	-0.44
Kurtosis	135.13	0.07
Expected Daily	0.02%	0.06%
Expected Monthly	0.49%	1.3%
Expected Yearly	4.38%	11.99%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-0.04%
Expected Shortfall (cVaR)	-2.65%	-0.04%
Max Consecutive Wins	7	722
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.09	-
Gain/Pain (1M)	0.73	-
Payoff Ratio	-	-
Profit Factor	1.09	-
Common Sense Ratio	1.12	-
CPC Index	-	-
Tail Ratio	1.02	2.7
Outlier Win Ratio	1.81	23.2
Outlier Loss Ratio	1.89	-
MTD	3.77%	1.15%
3M	5.29%	3.88%
6M	0.85%	7.94%
YTD	2.38%	3.58%
1Y	7.75%	17.99%
3Y (ann.)	6.21%	17.23%
5Y (ann.)	6.21%	17.23%
10Y (ann.)	6.21%	17.23%
All-time (ann.)	6.21%	17.23%
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%	3.58%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.87	-
Ulcer Index	0.12	0.0
Serenity Index	0.15	-
Avg. Up Month	2.83%	1.27%
Avg. Down Month	-	-
Win Days	52.59%	100.0%
Win Month	57.14%	100.0%
Win Quarter	66.67%	100.0%
Win Year	75.0%	100.0%
Beta	-4.19	-
Alpha	0.75	-
Correlation	-3.8%	-
Treynor Ratio	-4.47%	-