PRIE RUB[Strategy] vs Deposit RUB[Benchmark]

2 Nov, 2023 - 31 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	7.29%	56.73%
CAGR﹪	2.6%	17.78%
Sharpe	0.26	66.71
Prob. Sharpe Ratio	64.63%	100.0%
Smart Sharpe	0.19	49.03
Sortino	0.4	-
Smart Sortino	0.29	-
Sortino/√2	0.28	-
Smart Sortino/√2	0.21	-
Omega	1.06	1.06
Max Drawdown	-21.91%	-
Longest DD Days	-	-
Volatility (ann.)	26.83%	0.34%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.12	-
Skew	0.66	1.11
Kurtosis	12.75	3.8
Expected Daily	0.01%	0.09%
Expected Monthly	0.21%	1.37%
Expected Yearly	1.77%	11.89%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.75%	-0.05%
Expected Shortfall (cVaR)	-2.75%	-0.05%
Max Consecutive Wins	7	501
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.39	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.2	-
CPC Index	-	-
Tail Ratio	1.13	2.22
Outlier Win Ratio	2.77	30.42
Outlier Loss Ratio	1.95	-
MTD	0.45%	1.07%
3M	4.91%	3.25%
6M	4.66%	6.79%
YTD	2.05%	8.09%
1Y	-0.11%	15.36%
3Y (ann.)	2.6%	17.78%
5Y (ann.)	2.6%	17.78%
10Y (ann.)	2.6%	17.78%
All-time (ann.)	2.6%	17.78%
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	0.33	-
Ulcer Index	0.13	0.0
Serenity Index	0.04	-
Avg. Up Month	2.71%	1.36%
Avg. Down Month	-	-
Win Days	49.68%	100.0%
Win Month	54.55%	100.0%
Win Quarter	58.33%	100.0%
Win Year	50.0%	100.0%
Beta	0.64	-
Alpha	-0.07	-
Correlation	0.8%	-
Treynor Ratio	11.46%	-