PRIE RUB[Strategy] vs MCFTR RUB[Benchmark]

14 Nov, 2023 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	95.0%	99.0%
Cumulative Return	3.02%	9.58%
CAGR﹪	6.88%	22.74%
Sharpe	-5.44	-16.7
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.74	-8.42
Sortino	-6.78	-11.74
Smart Sortino	-3.42	-5.92
Sortino/√2	-4.79	-8.3
Smart Sortino/√2	-2.42	-4.19
Omega	0.28	0.28
Max Drawdown	-10.23%	-4.79%
Longest DD Days	41	48
Volatility (ann.)	35.46%	10.65%
R^2	0.02	0.02
Information Ratio	-0.02	-0.02
Calmar	0.67	4.75
Skew	1.36	-0.67
Kurtosis	13.41	2.72
Expected Daily	0.04%	0.12%
Expected Monthly	0.5%	1.54%
Expected Yearly	1.5%	4.68%
Kelly Criterion	-60.39%	36.11%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.61%	-0.98%
Expected Shortfall (cVaR)	-3.61%	-0.98%
Max Consecutive Wins	5	11
Max Consecutive Losses	3	6
Gain/Pain Ratio	0.12	0.66
Gain/Pain (1M)	25.71	4.89
Payoff Ratio	0.38	1.0
Profit Factor	1.12	1.66
Common Sense Ratio	0.71	1.73
CPC Index	0.24	1.13
Tail Ratio	0.63	1.04
Outlier Win Ratio	5.37	12.09
Outlier Loss Ratio	3.77	7.99
MTD	0.0%	3.22%
3M	2.85%	8.94%
6M	3.02%	9.58%
YTD	1.47%	11.74%
1Y	3.02%	9.58%
3Y (ann.)	6.88%	22.74%
5Y (ann.)	6.88%	22.74%
10Y (ann.)	6.88%	22.74%
All-time (ann.)	6.88%	22.74%
Best Day	11.31%	2.12%
Worst Day	-8.12%	-2.12%
Best Month	1.84%	4.26%
Worst Month	-0.32%	-1.45%
Best Year	1.52%	11.74%
Worst Year	1.47%	-1.94%
Avg. Drawdown	-3.02%	-1.38%
Avg. Drawdown Days	18	11
Recovery Factor	0.29	2.0
Ulcer Index	0.02	0.01
Serenity Index	-153.38	-115.65
Avg. Up Month	0.86%	1.9%
Avg. Down Month	-0.32%	-1.45%
Win Days	55.56%	68.0%
Win Month	60.0%	66.67%
Win Quarter	100.0%	66.67%
Win Year	100.0%	50.0%
Beta	-0.42	-
Alpha	0.29	-
Correlation	-12.61%	-
Treynor Ratio	1659.79%	-