YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 16 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	16.84%	46.15%
CAGR﹪	6.9%	17.67%
Sharpe	0.37	58.31
Prob. Sharpe Ratio	72.2%	-
Smart Sharpe	0.27	41.45
Sortino	0.57	-
Smart Sortino	0.4	-
Sortino/√2	0.4	-
Smart Sortino/√2	0.29	-
Omega	1.1	1.1
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	27.61%	0.28%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.32	-
Skew	2.63	-0.18
Kurtosis	128.38	-0.07
Expected Daily	0.03%	0.06%
Expected Monthly	0.54%	1.32%
Expected Yearly	5.32%	13.48%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.82%	-0.04%
Expected Shortfall (cVaR)	-2.82%	-0.04%
Max Consecutive Wins	7	594
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.8	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	0.96	2.77
Outlier Win Ratio	2.02	25.58
Outlier Loss Ratio	1.85	-
MTD	2.66%	1.3%
3M	7.76%	4.91%
6M	5.29%	10.07%
YTD	-5.31%	14.9%
1Y	7.35%	22.1%
3Y (ann.)	6.9%	17.67%
5Y (ann.)	6.9%	17.67%
10Y (ann.)	6.9%	17.67%
All-time (ann.)	6.9%	17.67%
Best Day	26.44%	0.11%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.83%
Worst Month	-5.89%	0.57%
Best Year	12.96%	18.74%
Worst Year	-5.31%	7.12%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.78	-
Ulcer Index	0.12	0.0
Serenity Index	0.13	-
Avg. Up Month	2.86%	1.28%
Avg. Down Month	-	-
Win Days	53.39%	100.0%
Win Month	58.62%	100.0%
Win Quarter	60.0%	100.0%
Win Year	66.67%	100.0%
Beta	-3.05	-
Alpha	0.59	-
Correlation	-3.05%	-
Treynor Ratio	-5.51%	-