BNDC[Strategy] vs RUB Inflation[Benchmark]

13 Dec, 2016 - 12 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	89.0%	100.0%
Cumulative Return	-15.09%	83.86%
CAGR﹪	-1.65%	6.39%
Sharpe	-0.17	11.37
Prob. Sharpe Ratio	30.31%	100.0%
Smart Sharpe	-0.13	8.91
Sortino	-0.24	85.88
Smart Sortino	-0.19	67.31
Sortino/√2	-0.17	60.73
Smart Sortino/√2	-0.13	47.59
Omega	0.96	0.96
Max Drawdown	-27.62%	-1.25%
Longest DD Days	3240	209
Volatility (ann.)	8.04%	0.55%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	-0.06	5.09
Skew	2.44	5.82
Kurtosis	331.56	47.4
Expected Daily	-0.01%	0.02%
Expected Monthly	-0.14%	0.51%
Expected Yearly	-1.48%	5.69%
Kelly Criterion	-1.38%	86.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.84%	-0.03%
Expected Shortfall (cVaR)	-0.84%	-0.03%
Max Consecutive Wins	9	730
Max Consecutive Losses	7	64
Gain/Pain Ratio	-0.04	20.68
Gain/Pain (1M)	-0.18	20.68
Payoff Ratio	0.96	2.54
Profit Factor	0.96	21.68
Common Sense Ratio	0.86	121.4
CPC Index	0.46	49.81
Tail Ratio	0.89	5.6
Outlier Win Ratio	2.26	17.44
Outlier Loss Ratio	1.71	39.74
MTD	0.13%	0.13%
3M	-3.6%	0.77%
6M	-4.98%	2.09%
YTD	-5.66%	5.18%
1Y	-6.38%	6.3%
3Y (ann.)	-0.09%	7.47%
5Y (ann.)	-4.28%	8.33%
10Y (ann.)	-1.65%	6.39%
All-time (ann.)	-1.65%	6.39%
Best Day	13.54%	0.32%
Worst Day	-11.93%	-0.02%
Best Month	4.25%	7.61%
Worst Month	-4.35%	-0.54%
Best Year	6.4%	11.92%
Worst Year	-15.7%	0.37%
Avg. Drawdown	-3.48%	-0.49%
Avg. Drawdown Days	354	106
Recovery Factor	-0.55	66.83
Ulcer Index	0.17	0.0
Serenity Index	-0.02	28.03
Avg. Up Month	1.09%	0.53%
Avg. Down Month	-1.29%	-0.22%
Win Days	50.32%	90.56%
Win Month	46.22%	90.76%
Win Quarter	43.9%	92.68%
Win Year	45.45%	100.0%
Beta	-0.32	-
Alpha	0.01	-
Correlation	-2.17%	-
Treynor Ratio	47.35%	-