PRIE RUB[Strategy] vs Deposit RUB[Benchmark]

2 Nov, 2023 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	99.0%
Cumulative Return	1.19%	7.43%
CAGR﹪	2.51%	16.13%
Sharpe	0.28	47.69
Prob. Sharpe Ratio	56.22%	100.0%
Smart Sharpe	0.14	24.23
Sortino	0.44	-
Smart Sortino	0.23	-
Sortino/√2	0.31	-
Smart Sortino/√2	0.16	-
Omega	1.07	1.07
Max Drawdown	-11.82%	-
Longest DD Days	-	-
Volatility (ann.)	34.89%	0.48%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.21	-
Skew	1.4	1.5
Kurtosis	13.87	3.54
Expected Daily	0.02%	0.09%
Expected Monthly	0.2%	1.2%
Expected Yearly	0.6%	3.65%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.58%	-0.04%
Expected Shortfall (cVaR)	-3.58%	-0.04%
Max Consecutive Wins	5	78
Max Consecutive Losses	3	0
Gain/Pain Ratio	0.07	-
Gain/Pain (1M)	4.46	-
Payoff Ratio	-	-
Profit Factor	1.07	-
Common Sense Ratio	0.67	-
CPC Index	-	-
Tail Ratio	0.62	2.42
Outlier Win Ratio	4.71	51.47
Outlier Loss Ratio	2.96	-
MTD	0.0%	1.24%
3M	2.85%	4.01%
6M	1.19%	7.43%
YTD	1.47%	5.04%
1Y	1.19%	7.43%
3Y (ann.)	2.51%	16.13%
5Y (ann.)	2.51%	16.13%
10Y (ann.)	2.51%	16.13%
All-time (ann.)	2.51%	16.13%
Best Day	11.31%	0.17%
Worst Day	-8.12%	0.0%
Best Month	1.84%	1.24%
Worst Month	-2.08%	1.05%
Best Year	1.47%	5.04%
Worst Year	-0.27%	2.28%
Avg. Drawdown	-3.22%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.1	-
Ulcer Index	0.03	0.0
Serenity Index	0.2	-
Avg. Up Month	1.19%	1.23%
Avg. Down Month	-	-
Win Days	54.67%	100.0%
Win Month	60.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	1.76	-
Alpha	-0.31	-
Correlation	2.42%	-
Treynor Ratio	0.68%	-