YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 13 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	30.23%	68.45%
CAGR﹪	8.06%	16.55%
Sharpe	0.44	66.23
Prob. Sharpe Ratio	79.58%	-
Smart Sharpe	0.32	49.33
Sortino	0.66	-
Smart Sortino	0.49	-
Sortino/√2	0.47	-
Smart Sortino/√2	0.35	-
Omega	1.11	1.11
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	24.34%	0.23%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.37	-
Skew	2.62	-0.03
Kurtosis	146.03	-0.19
Expected Daily	0.03%	0.06%
Expected Monthly	0.63%	1.25%
Expected Yearly	6.83%	13.92%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-0.04%
Expected Shortfall (cVaR)	-2.48%	-0.04%
Max Consecutive Wins	7	865
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.11	-
Gain/Pain (1M)	0.79	-
Payoff Ratio	-	-
Profit Factor	1.11	-
Common Sense Ratio	1.16	-
CPC Index	-	-
Tail Ratio	1.04	2.66
Outlier Win Ratio	1.74	22.52
Outlier Loss Ratio	1.92	-
MTD	0.44%	0.44%
3M	9.03%	3.34%
6M	11.9%	6.69%
YTD	12.3%	10.93%
1Y	13.51%	14.75%
3Y (ann.)	5.06%	17.56%
5Y (ann.)	8.06%	16.55%
10Y (ann.)	8.06%	16.55%
All-time (ann.)	8.06%	16.55%
Best Day	26.44%	0.09%
Worst Day	-21.55%	0.0%
Best Month	9.98%	1.83%
Worst Month	-5.89%	0.44%
Best Year	12.96%	19.38%
Worst Year	-6.02%	7.12%
Avg. Drawdown	-4.88%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.4	-
Ulcer Index	0.11	0.0
Serenity Index	0.23	-
Avg. Up Month	3.19%	1.21%
Avg. Down Month	-	-
Win Days	52.69%	100.0%
Win Month	57.14%	100.0%
Win Quarter	73.33%	100.0%
Win Year	75.0%	100.0%
Beta	-4.23	-
Alpha	0.75	-
Correlation	-3.99%	-
Treynor Ratio	-7.14%	-