BOND[Strategy] vs RUB Inflation[Benchmark]

18 Aug, 2022 - 7 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	50.24%	24.35%
CAGR﹪	13.45%	6.99%
Sharpe	2.04	22.17
Prob. Sharpe Ratio	99.98%	100.0%
Smart Sharpe	1.97	21.42
Sortino	3.06	67.08
Smart Sortino	2.96	64.8
Sortino/√2	2.16	47.43
Smart Sortino/√2	2.09	45.82
Omega	1.51	1.51
Max Drawdown	-7.66%	-0.47%
Longest DD Days	183	94
Volatility (ann.)	6.15%	0.3%
R^2	0.0	0.0
Information Ratio	0.06	0.06
Calmar	1.76	14.94
Skew	-0.18	-0.57
Kurtosis	16.56	2.62
Expected Daily	0.05%	0.03%
Expected Monthly	1.02%	0.55%
Expected Yearly	10.71%	5.6%
Kelly Criterion	42.73%	91.38%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.59%	-0.0%
Expected Shortfall (cVaR)	-0.59%	-0.0%
Max Consecutive Wins	15	748
Max Consecutive Losses	8	21
Gain/Pain Ratio	0.51	25.06
Gain/Pain (1M)	3.5	25.06
Payoff Ratio	1.97	0.73
Profit Factor	1.51	26.06
Common Sense Ratio	1.56	683.82
CPC Index	1.84	18.21
Tail Ratio	1.04	26.24
Outlier Win Ratio	2.11	17.19
Outlier Loss Ratio	1.9	17.83
MTD	0.39%	0.08%
3M	4.53%	0.45%
6M	15.35%	1.51%
YTD	27.98%	4.75%
1Y	36.01%	7.36%
3Y (ann.)	13.39%	7.65%
5Y (ann.)	13.45%	6.99%
10Y (ann.)	13.45%	6.99%
All-time (ann.)	13.45%	6.99%
Best Day	3.29%	0.07%
Worst Day	-3.42%	-0.05%
Best Month	6.98%	1.43%
Worst Month	-3.39%	-0.47%
Best Year	27.98%	9.51%
Worst Year	5.0%	0.91%
Avg. Drawdown	-0.55%	-0.43%
Avg. Drawdown Days	10	80
Recovery Factor	6.56	52.02
Ulcer Index	0.02	0.0
Serenity Index	3.59	20.01
Avg. Up Month	1.83%	0.59%
Avg. Down Month	-0.18%	-0.47%
Win Days	62.01%	96.38%
Win Month	72.5%	95.0%
Win Quarter	78.57%	92.86%
Win Year	100.0%	100.0%
Beta	0.37	-
Alpha	0.1	-
Correlation	1.78%	-
Treynor Ratio	137.13%	-