YUAN RUB[Strategy] vs Deposit RUB[Benchmark]

19 May, 2023 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	13.84%	50.91%
CAGR﹪	5.17%	17.37%
Sharpe	0.32	64.17
Prob. Sharpe Ratio	69.97%	-
Smart Sharpe	0.23	46.22
Sortino	0.48	-
Smart Sortino	0.35	-
Sortino/√2	0.34	-
Smart Sortino/√2	0.25	-
Omega	1.09	1.09
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	26.63%	0.25%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.24	-
Skew	2.66	-0.41
Kurtosis	134.05	-0.15
Expected Daily	0.02%	0.06%
Expected Monthly	0.41%	1.29%
Expected Yearly	4.42%	14.7%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.73%	-0.04%
Expected Shortfall (cVaR)	-2.73%	-0.04%
Max Consecutive Wins	7	657
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.09	-
Gain/Pain (1M)	0.66	-
Payoff Ratio	-	-
Profit Factor	1.09	-
Common Sense Ratio	1.07	-
CPC Index	-	-
Tail Ratio	0.99	2.7
Outlier Win Ratio	1.94	24.75
Outlier Loss Ratio	1.86	-
MTD	1.35%	0.65%
3M	-4.98%	4.05%
6M	5.24%	8.41%
YTD	-7.73%	18.65%
1Y	-1.6%	20.01%
3Y (ann.)	5.17%	17.37%
5Y (ann.)	5.17%	17.37%
10Y (ann.)	5.17%	17.37%
All-time (ann.)	5.17%	17.37%
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%	18.74%
Worst Year	-7.73%	7.12%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.64	-
Ulcer Index	0.12	0.0
Serenity Index	0.11	-
Avg. Up Month	2.72%	1.24%
Avg. Down Month	-	-
Win Days	52.84%	100.0%
Win Month	56.25%	100.0%
Win Quarter	54.55%	100.0%
Win Year	66.67%	100.0%
Beta	-4.04	-
Alpha	0.72	-
Correlation	-3.72%	-
Treynor Ratio	-3.43%	-