PRIE RUB[Strategy] vs Deposit RUB[Benchmark]

2 Nov, 2023 - 24 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	7.05%	50.2%
CAGR﹪	2.89%	18.54%
Sharpe	0.28	73.39
Prob. Sharpe Ratio	64.4%	100.0%
Smart Sharpe	0.2	53.01
Sortino	0.42	-
Smart Sortino	0.3	-
Sortino/√2	0.3	-
Smart Sortino/√2	0.22	-
Omega	1.06	1.06
Max Drawdown	-21.91%	-
Longest DD Days	-	-
Volatility (ann.)	28.1%	0.32%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.13	-
Skew	0.64	1.42
Kurtosis	11.98	5.1
Expected Daily	0.02%	0.09%
Expected Monthly	0.24%	1.41%
Expected Yearly	1.72%	10.7%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.88%	-0.06%
Expected Shortfall (cVaR)	-2.88%	-0.06%
Max Consecutive Wins	7	437
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.47	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.14	-
CPC Index	-	-
Tail Ratio	1.08	1.95
Outlier Win Ratio	2.79	30.22
Outlier Loss Ratio	2.13	-
MTD	3.82%	1.16%
3M	3.34%	3.79%
6M	-2.93%	7.82%
YTD	1.82%	3.58%
1Y	0.0%	18.02%
3Y (ann.)	2.89%	18.54%
5Y (ann.)	2.89%	18.54%
10Y (ann.)	2.89%	18.54%
All-time (ann.)	2.89%	18.54%
Best Day	11.31%	0.17%
Worst Day	-10.1%	0.0%
Best Month	11.56%	1.83%
Worst Month	-5.04%	1.05%
Best Year	19.44%	19.39%
Worst Year	-11.74%	2.28%
Avg. Drawdown	-5.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.32	-
Ulcer Index	0.13	0.0
Serenity Index	0.05	-
Avg. Up Month	2.54%	1.4%
Avg. Down Month	-	-
Win Days	50.12%	100.0%
Win Month	55.17%	100.0%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	1.29	-
Alpha	-0.22	-
Correlation	1.47%	-
Treynor Ratio	5.46%	-