PRIE RUB[Strategy] vs Deposit RUB[Benchmark]

2 Nov, 2023 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	5.14%	28.33%
CAGR﹪	3.59%	19.17%
Sharpe	0.31	68.95
Prob. Sharpe Ratio	62.44%	100.0%
Smart Sharpe	0.21	46.99
Sortino	0.48	-
Smart Sortino	0.32	-
Sortino/√2	0.34	-
Smart Sortino/√2	0.23	-
Omega	1.07	1.07
Max Drawdown	-20.68%	-
Longest DD Days	-	-
Volatility (ann.)	34.3%	0.36%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.17	-
Skew	0.58	1.38
Kurtosis	8.5	4.28
Expected Daily	0.02%	0.1%
Expected Monthly	0.28%	1.4%
Expected Yearly	1.68%	8.67%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.51%	-0.06%
Expected Shortfall (cVaR)	-3.51%	-0.06%
Max Consecutive Wins	7	255
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.07	-
Gain/Pain (1M)	0.63	-
Payoff Ratio	-	-
Profit Factor	1.07	-
Common Sense Ratio	1.4	-
CPC Index	-	-
Tail Ratio	1.31	2.14
Outlier Win Ratio	2.94	37.15
Outlier Loss Ratio	2.66	-
MTD	-1.35%	0.34%
3M	-11.2%	5.55%
6M	0.8%	11.03%
YTD	-11.74%	5.66%
1Y	3.65%	20.81%
3Y (ann.)	3.59%	19.17%
5Y (ann.)	3.59%	19.17%
10Y (ann.)	3.59%	19.17%
All-time (ann.)	3.59%	19.17%
Best Day	11.31%	0.17%
Worst Day	-10.1%	0.0%
Best Month	11.56%	1.83%
Worst Month	-5.04%	0.34%
Best Year	19.44%	18.74%
Worst Year	-11.74%	2.28%
Avg. Drawdown	-5.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.25	-
Ulcer Index	0.07	0.0
Serenity Index	0.11	-
Avg. Up Month	2.94%	1.47%
Avg. Down Month	-	-
Win Days	50.42%	100.0%
Win Month	50.0%	100.0%
Win Quarter	57.14%	100.0%
Win Year	33.33%	100.0%
Beta	3.25	-
Alpha	-0.69	-
Correlation	3.37%	-
Treynor Ratio	1.58%	-