DIVD[Strategy] vs RUB Inflation[Benchmark]

19 Jan, 2021 - 3 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	14.03%	47.81%
CAGR﹪	3.05%	9.35%
Sharpe	0.25	3.56
Prob. Sharpe Ratio	69.57%	100.0%
Smart Sharpe	0.24	3.41
Sortino	0.33	119.09
Smart Sortino	0.32	114.24
Sortino/√2	0.23	84.21
Smart Sortino/√2	0.22	80.78
Omega	1.05	1.05
Max Drawdown	-48.48%	-1.25%
Longest DD Days	681	209
Volatility (ann.)	22.73%	2.53%
R^2	0.02	0.02
Information Ratio	-0.01	-0.01
Calmar	0.06	7.45
Skew	-0.93	22.8
Kurtosis	8.22	527.44
Expected Daily	0.01%	0.04%
Expected Monthly	0.24%	0.73%
Expected Yearly	2.66%	8.13%
Kelly Criterion	5.38%	91.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.33%	-0.23%
Expected Shortfall (cVaR)	-2.33%	-0.23%
Max Consecutive Wins	9	707
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.05	31.06
Gain/Pain (1M)	0.19	31.06
Payoff Ratio	0.95	2.34
Profit Factor	1.05	32.06
Common Sense Ratio	0.95	124.15
CPC Index	0.53	70.48
Tail Ratio	0.9	3.87
Outlier Win Ratio	2.03	47.61
Outlier Loss Ratio	1.97	107.73
MTD	2.0%	0.04%
3M	-11.34%	1.57%
6M	11.02%	4.96%
YTD	-2.93%	3.65%
1Y	-6.7%	9.98%
3Y (ann.)	13.61%	7.21%
5Y (ann.)	3.05%	9.35%
10Y (ann.)	3.05%	9.35%
All-time (ann.)	3.05%	9.35%
Best Day	7.71%	3.74%
Worst Day	-10.29%	-0.02%
Best Month	15.57%	7.61%
Worst Month	-24.16%	-0.52%
Best Year	55.98%	11.92%
Worst Year	-32.19%	3.65%
Avg. Drawdown	-3.77%	-1.25%
Avg. Drawdown Days	40	209
Recovery Factor	0.29	38.1
Ulcer Index	0.2	0.0
Serenity Index	0.03	41.04
Avg. Up Month	4.56%	0.85%
Avg. Down Month	-1.73%	-0.37%
Win Days	54.02%	94.06%
Win Month	62.96%	94.44%
Win Quarter	55.56%	94.44%
Win Year	40.0%	100.0%
Beta	1.37	-
Alpha	-0.07	-
Correlation	15.27%	-
Treynor Ratio	10.24%	-