PRIE RUB[Strategy] vs Deposit RUB[Benchmark]

2 Nov, 2023 - 23 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	8.12%	61.88%
CAGR﹪	2.66%	17.57%
Sharpe	0.27	66.98
Prob. Sharpe Ratio	65.38%	100.0%
Smart Sharpe	0.2	49.79
Sortino	0.4	-
Smart Sortino	0.3	-
Sortino/√2	0.29	-
Smart Sortino/√2	0.21	-
Omega	1.06	1.06
Max Drawdown	-21.91%	-
Longest DD Days	-	-
Volatility (ann.)	26.42%	0.33%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.12	-
Skew	0.64	1.09
Kurtosis	12.61	3.8
Expected Daily	0.01%	0.09%
Expected Monthly	0.22%	1.35%
Expected Yearly	1.97%	12.8%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.71%	-0.05%
Expected Shortfall (cVaR)	-2.71%	-0.05%
Max Consecutive Wins	7	541
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.36	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.17	-
CPC Index	-	-
Tail Ratio	1.11	1.82
Outlier Win Ratio	2.67	29.14
Outlier Loss Ratio	1.94	-
MTD	-2.06%	1.09%
3M	2.72%	3.79%
6M	7.1%	6.9%
YTD	2.84%	11.64%
1Y	1.23%	14.99%
3Y (ann.)	7.24%	17.65%
5Y (ann.)	2.66%	17.57%
10Y (ann.)	2.66%	17.57%
All-time (ann.)	2.66%	17.57%
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	0.37	-
Ulcer Index	0.13	0.0
Serenity Index	0.04	-
Avg. Up Month	2.92%	1.35%
Avg. Down Month	-	-
Win Days	50.0%	100.0%
Win Month	52.78%	100.0%
Win Quarter	53.85%	100.0%
Win Year	50.0%	100.0%
Beta	-0.23	-
Alpha	0.12	-
Correlation	-0.29%	-
Treynor Ratio	-35.27%	-