YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	12.37%	34.37%
CAGR﹪	6.4%	17.02%
Sharpe	0.35	56.47
Prob. Sharpe Ratio	68.99%	-
Smart Sharpe	0.25	39.8
Sortino	0.53	-
Smart Sortino	0.38	-
Sortino/√2	0.38	-
Smart Sortino/√2	0.27	-
Omega	1.1	1.1
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	30.04%	0.27%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.3	-
Skew	2.52	-0.28
Kurtosis	113.25	-0.64
Expected Daily	0.02%	0.06%
Expected Monthly	0.49%	1.24%
Expected Yearly	3.96%	10.35%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.07%	-0.03%
Expected Shortfall (cVaR)	-3.07%	-0.03%
Max Consecutive Wins	7	480
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.76	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.07	-
CPC Index	-	-
Tail Ratio	0.97	2.7
Outlier Win Ratio	1.96	27.56
Outlier Loss Ratio	1.79	-
MTD	0.2%	0.32%
3M	-9.16%	5.55%
6M	-1.63%	11.12%
YTD	-8.93%	5.64%
1Y	-2.76%	20.71%
3Y (ann.)	6.4%	17.02%
5Y (ann.)	6.4%	17.02%
10Y (ann.)	6.4%	17.02%
All-time (ann.)	6.4%	17.02%
Best Day	26.44%	0.09%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.83%
Worst Month	-5.89%	0.32%
Best Year	12.96%	18.74%
Worst Year	-8.93%	5.64%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.57	-
Ulcer Index	0.12	0.0
Serenity Index	0.11	-
Avg. Up Month	2.9%	1.18%
Avg. Down Month	-	-
Win Days	52.94%	100.0%
Win Month	58.33%	100.0%
Win Quarter	66.67%	100.0%
Win Year	66.67%	100.0%
Beta	-3.89	-
Alpha	0.71	-
Correlation	-3.55%	-
Treynor Ratio	-3.18%	-