DIVD[Strategy] vs RUB Inflation[Benchmark]

19 Jan, 2021 - 2 Oct, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	21.86%	26.05%
CAGR﹪	7.59%	8.95%
Sharpe	0.44	2.72
Prob. Sharpe Ratio	75.69%	100.0%
Smart Sharpe	0.42	2.58
Sortino	0.56	90.84
Smart Sortino	0.54	86.33
Sortino/√2	0.4	64.24
Smart Sortino/√2	0.38	61.05
Omega	1.09	1.09
Max Drawdown	-48.48%	-1.25%
Longest DD Days	681	209
Volatility (ann.)	23.4%	3.25%
R^2	0.04	0.04
Information Ratio	0.0	0.0
Calmar	0.16	7.13
Skew	-1.68	17.86
Kurtosis	10.75	321.66
Expected Daily	0.03%	0.03%
Expected Monthly	0.58%	0.68%
Expected Yearly	6.81%	8.02%
Kelly Criterion	8.15%	86.34%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.38%	-0.3%
Expected Shortfall (cVaR)	-2.38%	-0.3%
Max Consecutive Wins	8	323
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.09	18.44
Gain/Pain (1M)	0.34	18.44
Payoff Ratio	0.92	2.54
Profit Factor	1.09	19.44
Common Sense Ratio	1.0	67.55
CPC Index	0.56	44.59
Tail Ratio	0.92	3.47
Outlier Win Ratio	2.01	44.84
Outlier Loss Ratio	2.09	116.81
MTD	1.02%	0.01%
3M	15.86%	1.18%
6M	39.64%	2.26%
YTD	58.42%	3.97%
1Y	88.5%	5.36%
3Y (ann.)	7.59%	8.95%
5Y (ann.)	7.59%	8.95%
10Y (ann.)	7.59%	8.95%
All-time (ann.)	7.59%	8.95%
Best Day	5.61%	3.74%
Worst Day	-10.29%	-0.02%
Best Month	15.57%	7.61%
Worst Month	-24.16%	-0.52%
Best Year	58.42%	11.92%
Worst Year	-32.19%	3.97%
Avg. Drawdown	-3.51%	-1.25%
Avg. Drawdown Days	37	209
Recovery Factor	0.45	20.76
Ulcer Index	0.24	0.0
Serenity Index	0.03	17.08
Avg. Up Month	4.9%	0.86%
Avg. Down Month	-1.73%	-0.37%
Win Days	55.99%	90.2%
Win Month	64.71%	91.18%
Win Quarter	66.67%	91.67%
Win Year	66.67%	100.0%
Beta	1.35	-
Alpha	-0.02	-
Correlation	18.74%	-
Treynor Ratio	16.21%	-