GPBR RUB[Strategy] vs Deposit RUB[Benchmark]

2 Feb, 2022 - 24 Jan, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	100.0%
Cumulative Return	12.15%	19.16%
CAGR﹪	5.98%	9.28%
Sharpe	0.63	48.81
Prob. Sharpe Ratio	80.74%	-
Smart Sharpe	0.5	38.92
Sortino	0.93	-
Smart Sortino	0.74	-
Sortino/√2	0.66	-
Smart Sortino/√2	0.52	-
Omega	1.15	1.15
Max Drawdown	-8.14%	-
Longest DD Days	-	-
Volatility (ann.)	10.46%	0.19%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.73	-
Skew	0.13	1.51
Kurtosis	9.68	2.48
Expected Daily	0.02%	0.04%
Expected Monthly	0.5%	0.77%
Expected Yearly	3.9%	6.02%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.06%	-0.02%
Expected Shortfall (cVaR)	-1.06%	-0.02%
Max Consecutive Wins	7	476
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.15	-
Gain/Pain (1M)	1.07	-
Payoff Ratio	-	-
Profit Factor	1.15	-
Common Sense Ratio	1.19	-
CPC Index	-	-
Tail Ratio	1.04	2.36
Outlier Win Ratio	3.61	35.21
Outlier Loss Ratio	2.44	-
MTD	-1.23%	1.24%
3M	0.09%	3.93%
6M	-1.14%	6.62%
YTD	-1.23%	1.24%
1Y	1.26%	10.83%
3Y (ann.)	5.98%	9.28%
5Y (ann.)	5.98%	9.28%
10Y (ann.)	5.98%	9.28%
All-time (ann.)	5.98%	9.28%
Best Day	3.63%	0.08%
Worst Day	-3.56%	0.0%
Best Month	5.61%	1.24%
Worst Month	-3.98%	0.55%
Best Year	11.25%	10.0%
Worst Year	-1.23%	1.24%
Avg. Drawdown	-1.33%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.49	-
Ulcer Index	0.02	0.0
Serenity Index	1.42	-
Avg. Up Month	1.58%	0.75%
Avg. Down Month	-	-
Win Days	51.76%	100.0%
Win Month	65.22%	100.0%
Win Quarter	66.67%	100.0%
Win Year	66.67%	100.0%
Beta	-0.7	-
Alpha	0.13	-
Correlation	-1.27%	-
Treynor Ratio	-17.32%	-