PRIE RUB[Strategy] vs Deposit RUB[Benchmark]

2 Nov, 2023 - 22 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	7.29%	37.79%
CAGR﹪	3.97%	19.43%
Sharpe	0.33	76.36
Prob. Sharpe Ratio	64.65%	100.0%
Smart Sharpe	0.23	53.22
Sortino	0.49	-
Smart Sortino	0.34	-
Sortino/√2	0.35	-
Smart Sortino/√2	0.24	-
Omega	1.07	1.07
Max Drawdown	-21.91%	-
Longest DD Days	-	-
Volatility (ann.)	30.84%	0.32%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.18	-
Skew	0.63	1.64
Kurtosis	10.51	6.18
Expected Daily	0.02%	0.1%
Expected Monthly	0.32%	1.47%
Expected Yearly	2.37%	11.28%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.16%	-0.06%
Expected Shortfall (cVaR)	-3.16%	-0.06%
Max Consecutive Wins	7	332
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.07	-
Gain/Pain (1M)	0.6	-
Payoff Ratio	-	-
Profit Factor	1.07	-
Common Sense Ratio	1.39	-
CPC Index	-	-
Tail Ratio	1.3	1.96
Outlier Win Ratio	2.71	30.71
Outlier Loss Ratio	2.67	-
MTD	0.67%	1.33%
3M	4.06%	4.82%
6M	-0.11%	10.02%
YTD	-9.93%	13.45%
1Y	5.9%	22.08%
3Y (ann.)	3.97%	19.43%
5Y (ann.)	3.97%	19.43%
10Y (ann.)	3.97%	19.43%
All-time (ann.)	3.97%	19.43%
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%	18.74%
Worst Year	-9.93%	2.28%
Avg. Drawdown	-5.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.33	-
Ulcer Index	0.11	0.0
Serenity Index	0.07	-
Avg. Up Month	2.8%	1.46%
Avg. Down Month	-	-
Win Days	50.65%	100.0%
Win Month	54.55%	100.0%
Win Quarter	62.5%	100.0%
Win Year	33.33%	100.0%
Beta	3.18	-
Alpha	-0.67	-
Correlation	3.28%	-
Treynor Ratio	2.29%	-