YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 20 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	13.95%	55.55%
CAGR﹪	4.84%	17.35%
Sharpe	0.31	65.42
Prob. Sharpe Ratio	70.01%	-
Smart Sharpe	0.22	47.49
Sortino	0.47	-
Smart Sortino	0.34	-
Sortino/√2	0.33	-
Smart Sortino/√2	0.24	-
Omega	1.08	1.08
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	26.06%	0.24%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.22	-
Skew	2.66	-0.45
Kurtosis	137.07	-0.1
Expected Daily	0.02%	0.06%
Expected Monthly	0.38%	1.31%
Expected Yearly	3.32%	11.68%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.67%	-0.04%
Expected Shortfall (cVaR)	-2.67%	-0.04%
Max Consecutive Wins	7	701
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.08	-
Gain/Pain (1M)	0.61	-
Payoff Ratio	-	-
Profit Factor	1.08	-
Common Sense Ratio	1.11	-
CPC Index	-	-
Tail Ratio	1.03	2.7
Outlier Win Ratio	1.88	23.71
Outlier Loss Ratio	1.88	-
MTD	1.51%	1.21%
3M	-0.59%	4.21%
6M	1.68%	8.35%
YTD	-1.73%	2.44%
1Y	-0.99%	18.81%
3Y (ann.)	4.84%	17.35%
5Y (ann.)	4.84%	17.35%
10Y (ann.)	4.84%	17.35%
All-time (ann.)	4.84%	17.35%
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%	2.44%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.65	-
Ulcer Index	0.12	0.0
Serenity Index	0.11	-
Avg. Up Month	2.76%	1.28%
Avg. Down Month	-	-
Win Days	52.45%	100.0%
Win Month	55.88%	100.0%
Win Quarter	58.33%	100.0%
Win Year	50.0%	100.0%
Beta	-4.06	-
Alpha	0.73	-
Correlation	-3.78%	-
Treynor Ratio	-3.43%	-