PRIE RUB[Strategy] vs Deposit RUB[Benchmark]

2 Nov, 2023 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	5.73%	44.57%
CAGR﹪	2.68%	19.06%
Sharpe	0.27	76.28
Prob. Sharpe Ratio	63.12%	100.0%
Smart Sharpe	0.19	54.12
Sortino	0.41	-
Smart Sortino	0.29	-
Sortino/√2	0.29	-
Smart Sortino/√2	0.2	-
Omega	1.06	1.06
Max Drawdown	-21.91%	-
Longest DD Days	-	-
Volatility (ann.)	29.41%	0.31%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.12	-
Skew	0.64	1.47
Kurtosis	11.12	5.68
Expected Daily	0.01%	0.1%
Expected Monthly	0.21%	1.43%
Expected Yearly	1.88%	13.07%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.02%	-0.06%
Expected Shortfall (cVaR)	-3.02%	-0.06%
Max Consecutive Wins	7	386
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.46	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.29	-
CPC Index	-	-
Tail Ratio	1.22	1.89
Outlier Win Ratio	2.7	30.19
Outlier Loss Ratio	2.35	-
MTD	2.31%	0.97%
3M	-6.55%	4.22%
6M	5.11%	8.7%
YTD	-11.23%	19.03%
1Y	-6.55%	20.39%
3Y (ann.)	2.68%	19.06%
5Y (ann.)	2.68%	19.06%
10Y (ann.)	2.68%	19.06%
All-time (ann.)	2.68%	19.06%
Best Day	11.31%	0.17%
Worst Day	-10.1%	0.0%
Best Month	11.56%	1.83%
Worst Month	-5.04%	0.97%
Best Year	19.44%	19.03%
Worst Year	-11.23%	2.28%
Avg. Drawdown	-5.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.26	-
Ulcer Index	0.12	0.0
Serenity Index	0.04	-
Avg. Up Month	2.63%	1.41%
Avg. Down Month	-	-
Win Days	49.58%	100.0%
Win Month	53.85%	100.0%
Win Quarter	55.56%	100.0%
Win Year	33.33%	100.0%
Beta	2.71	-
Alpha	-0.57	-
Correlation	2.9%	-
Treynor Ratio	2.12%	-