PLZL RUB[Strategy] vs IMOEX RUB[Benchmark]

15 Jan, 2010 - 11 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	985.11%	88.15%
CAGR﹪	16.73%	4.19%
Sharpe	0.42	0.01
Prob. Sharpe Ratio	2.32%	0.1%
Smart Sharpe	0.39	0.01
Sortino	0.68	0.01
Smart Sortino	0.62	0.01
Sortino/√2	0.48	0.01
Smart Sortino/√2	0.44	0.01
Omega	1.09	1.09
Max Drawdown	-76.99%	-55.29%
Longest DD Days	1650	1691
Volatility (ann.)	35.18%	23.19%
R^2	0.11	0.11
Information Ratio	0.03	0.03
Calmar	0.22	0.08
Skew	1.54	-2.85
Kurtosis	28.44	83.05
Expected Daily	0.06%	0.02%
Expected Monthly	1.29%	0.34%
Expected Yearly	16.07%	4.03%
Kelly Criterion	0.25%	3.33%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.56%	-2.37%
Expected Shortfall (cVaR)	-3.56%	-2.37%
Max Consecutive Wins	15	11
Max Consecutive Losses	14	11
Gain/Pain Ratio	0.13	0.06
Gain/Pain (1M)	0.55	0.31
Payoff Ratio	1.06	0.97
Profit Factor	1.13	1.06
Common Sense Ratio	1.35	1.05
CPC Index	0.59	0.54
Tail Ratio	1.19	0.99
Outlier Win Ratio	3.39	5.43
Outlier Loss Ratio	3.47	4.6
MTD	2.79%	-3.38%
3M	-8.11%	-14.61%
6M	17.34%	8.34%
YTD	24.03%	-5.2%
1Y	43.31%	-14.08%
3Y (ann.)	28.29%	7.34%
5Y (ann.)	5.76%	-0.5%
10Y (ann.)	26.57%	5.15%
All-time (ann.)	16.73%	4.19%
Best Day	34.94%	20.04%
Worst Day	-24.62%	-33.28%
Best Month	51.99%	17.98%
Worst Month	-39.69%	-30.02%
Best Year	188.22%	43.87%
Worst Year	-47.14%	-43.12%
Avg. Drawdown	-8.17%	-4.26%
Avg. Drawdown Days	91	65
Recovery Factor	12.79	1.59
Ulcer Index	0.34	0.21
Serenity Index	1.03	0.15
Avg. Up Month	12.57%	4.38%
Avg. Down Month	-7.98%	-4.69%
Win Days	48.63%	52.38%
Win Month	46.77%	59.68%
Win Quarter	56.45%	61.29%
Win Year	68.75%	62.5%
Beta	0.5	-
Alpha	0.18	-
Correlation	32.97%	-
Treynor Ratio	1955.08%	-