YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 14 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	19.86%	63.22%
CAGR﹪	5.91%	16.79%
Sharpe	0.35	66.53
Prob. Sharpe Ratio	73.85%	-
Smart Sharpe	0.26	49.25
Sortino	0.53	-
Smart Sortino	0.39	-
Sortino/√2	0.37	-
Smart Sortino/√2	0.28	-
Omega	1.09	1.09
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	25.09%	0.23%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.27	-
Skew	2.6	-0.18
Kurtosis	139.77	-0.11
Expected Daily	0.02%	0.06%
Expected Monthly	0.47%	1.26%
Expected Yearly	4.63%	13.03%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.57%	-0.04%
Expected Shortfall (cVaR)	-2.57%	-0.04%
Max Consecutive Wins	7	800
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.09	-
Gain/Pain (1M)	0.6	-
Payoff Ratio	-	-
Profit Factor	1.09	-
Common Sense Ratio	1.14	-
CPC Index	-	-
Tail Ratio	1.05	2.69
Outlier Win Ratio	1.81	23.63
Outlier Loss Ratio	1.9	-
MTD	-1.95%	0.5%
3M	3.49%	3.33%
6M	3.98%	7.1%
YTD	3.36%	7.49%
1Y	9.99%	15.57%
3Y (ann.)	-0.24%	17.39%
5Y (ann.)	5.91%	16.79%
10Y (ann.)	5.91%	16.79%
All-time (ann.)	5.91%	16.79%
Best Day	26.44%	0.09%
Worst Day	-21.55%	0.0%
Best Month	9.98%	1.83%
Worst Month	-5.89%	0.5%
Best Year	12.96%	19.38%
Worst Year	-6.02%	7.12%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.92	-
Ulcer Index	0.12	0.0
Serenity Index	0.16	-
Avg. Up Month	3.26%	1.26%
Avg. Down Month	-	-
Win Days	52.21%	100.0%
Win Month	53.85%	100.0%
Win Quarter	64.29%	100.0%
Win Year	75.0%	100.0%
Beta	-4.17	-
Alpha	0.73	-
Correlation	-3.85%	-
Treynor Ratio	-4.77%	-