DIVD RUB[Strategy] vs [Benchmark] IRDIVTR RUB

6 Jul, 2021 - 6 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	99.0%
Cumulative Return	6.54%	11.62%
CAGR﹪	1.37%	2.38%
Sharpe	-0.12	-0.03
Prob. Sharpe Ratio	2.22%	3.18%
Smart Sharpe	-0.12	-0.03
Sortino	-0.16	-0.04
Smart Sortino	-0.15	-0.04
Sortino/√2	-0.11	-0.03
Smart Sortino/√2	-0.11	-0.03
Omega	0.98	0.98
Max Drawdown	-48.48%	-48.8%
Longest DD Days	681	677
Volatility (ann.)	22.82%	26.17%
R^2	0.49	0.49
Information Ratio	-0.01	-0.01
Calmar	0.03	0.05
Skew	-0.84	-3.41
Kurtosis	7.54	86.86
Expected Daily	0.01%	0.01%
Expected Monthly	0.11%	0.19%
Expected Yearly	1.06%	1.85%
Kelly Criterion	-1.7%	1.32%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.35%	-2.69%
Expected Shortfall (cVaR)	-2.35%	-2.69%
Max Consecutive Wins	9	11
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.03	0.05
Gain/Pain (1M)	0.13	0.21
Payoff Ratio	0.86	0.85
Profit Factor	1.03	1.05
Common Sense Ratio	0.94	0.94
CPC Index	0.47	0.49
Tail Ratio	0.91	0.89
Outlier Win Ratio	3.93	4.13
Outlier Loss Ratio	3.61	3.66
MTD	3.24%	2.78%
3M	7.26%	6.91%
6M	-0.53%	-0.01%
YTD	5.62%	5.83%
1Y	-5.48%	-5.63%
3Y (ann.)	10.45%	11.63%
5Y (ann.)	1.37%	2.38%
10Y (ann.)	1.37%	2.38%
All-time (ann.)	1.37%	2.38%
Best Day	7.71%	17.88%
Worst Day	-10.29%	-28.25%
Best Month	15.57%	17.02%
Worst Month	-24.16%	-22.53%
Best Year	55.98%	59.94%
Worst Year	-32.19%	-32.71%
Avg. Drawdown	-4.85%	-4.37%
Avg. Drawdown Days	66	60
Recovery Factor	0.13	0.24
Ulcer Index	0.21	0.21
Serenity Index	-0.0	0.01
Avg. Up Month	5.01%	4.96%
Avg. Down Month	-6.57%	-6.27%
Win Days	53.04%	54.7%
Win Month	59.65%	59.65%
Win Quarter	52.63%	52.63%
Win Year	50.0%	50.0%
Beta	0.61	-
Alpha	0.0	-
Correlation	70.14%	-
Treynor Ratio	-0.76%	-