GPBM RUB[Strategy] vs Deposit RUB[Benchmark]

23 Jul, 2019 - 4 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	80.0%	100.0%
Cumulative Return	22.42%	42.02%
CAGR﹪	4.39%	7.74%
Sharpe	0.6	15.92
Prob. Sharpe Ratio	81.92%	100.0%
Smart Sharpe	0.45	11.96
Sortino	0.83	-
Smart Sortino	0.62	-
Sortino/√2	0.59	-
Smart Sortino/√2	0.44	-
Omega	1.16	1.16
Max Drawdown	-16.05%	-
Longest DD Days	-	-
Volatility (ann.)	15.78%	0.89%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.27	-
Skew	-1.33	2.91
Kurtosis	28.13	10.69
Expected Daily	0.03%	0.06%
Expected Monthly	0.36%	0.62%
Expected Yearly	3.43%	6.02%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.6%	-0.04%
Expected Shortfall (cVaR)	-1.6%	-0.04%
Max Consecutive Wins	8	623
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.16	-
Gain/Pain (1M)	0.78	-
Payoff Ratio	-	-
Profit Factor	1.16	-
Common Sense Ratio	1.35	-
CPC Index	-	-
Tail Ratio	1.16	9.04
Outlier Win Ratio	4.01	29.46
Outlier Loss Ratio	2.46	-
MTD	-0.48%	1.24%
3M	-0.32%	5.04%
6M	-1.28%	8.62%
YTD	-0.32%	5.04%
1Y	-0.32%	13.33%
3Y (ann.)	1.99%	9.33%
5Y (ann.)	4.39%	7.74%
10Y (ann.)	4.39%	7.74%
All-time (ann.)	4.39%	7.74%
Best Day	6.29%	0.41%
Worst Day	-10.58%	0.0%
Best Month	5.59%	1.24%
Worst Month	-7.06%	0.0%
Best Year	9.58%	10.02%
Worst Year	-2.12%	2.69%
Avg. Drawdown	-1.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.4	-
Ulcer Index	0.03	0.0
Serenity Index	1.03	-
Avg. Up Month	1.49%	0.62%
Avg. Down Month	-	-
Win Days	55.13%	100.0%
Win Month	63.64%	100.0%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	0.21	-
Alpha	0.06	-
Correlation	1.2%	-
Treynor Ratio	105.61%	-