DIVD[Strategy] vs RUB Inflation[Benchmark]

19 Jan, 2021 - 20 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	18.51%	43.54%
CAGR﹪	4.33%	9.44%
Sharpe	0.3	3.46
Prob. Sharpe Ratio	72.51%	100.0%
Smart Sharpe	0.29	3.27
Sortino	0.4	115.59
Smart Sortino	0.38	109.36
Sortino/√2	0.29	81.74
Smart Sortino/√2	0.27	77.33
Omega	1.06	1.06
Max Drawdown	-48.48%	-1.25%
Longest DD Days	681	209
Volatility (ann.)	22.61%	2.66%
R^2	0.03	0.03
Information Ratio	-0.01	-0.01
Calmar	0.09	7.53
Skew	-1.1	21.75
Kurtosis	9.09	479.74
Expected Daily	0.02%	0.04%
Expected Monthly	0.35%	0.74%
Expected Yearly	3.46%	7.5%
Kelly Criterion	5.51%	90.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.32%	-0.24%
Expected Shortfall (cVaR)	-2.32%	-0.24%
Max Consecutive Wins	9	607
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.06	28.74
Gain/Pain (1M)	0.23	28.74
Payoff Ratio	0.92	2.4
Profit Factor	1.06	29.74
Common Sense Ratio	0.94	120.5
CPC Index	0.53	66.63
Tail Ratio	0.89	4.05
Outlier Win Ratio	2.04	45.94
Outlier Loss Ratio	1.98	107.73
MTD	0.88%	0.66%
3M	10.05%	3.75%
6M	0.02%	5.35%
YTD	0.88%	0.66%
1Y	-5.03%	9.65%
3Y (ann.)	3.84%	9.43%
5Y (ann.)	4.33%	9.44%
10Y (ann.)	4.33%	9.44%
All-time (ann.)	4.33%	9.44%
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%	0.66%
Avg. Drawdown	-3.77%	-1.25%
Avg. Drawdown Days	37	209
Recovery Factor	0.38	34.7
Ulcer Index	0.21	0.0
Serenity Index	0.03	35.49
Avg. Up Month	4.51%	0.86%
Avg. Down Month	-1.73%	-0.37%
Win Days	54.67%	93.47%
Win Month	65.31%	93.88%
Win Quarter	58.82%	94.12%
Win Year	60.0%	100.0%
Beta	1.36	-
Alpha	-0.06	-
Correlation	16.03%	-
Treynor Ratio	13.57%	-