BOND[Strategy] vs RUB Inflation[Benchmark]

18 Aug, 2022 - 6 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	52.83%	25.59%
CAGR﹪	13.33%	6.95%
Sharpe	2.03	22.71
Prob. Sharpe Ratio	99.99%	100.0%
Smart Sharpe	1.96	21.95
Sortino	3.05	68.53
Smart Sortino	2.95	66.24
Sortino/√2	2.16	48.46
Smart Sortino/√2	2.09	46.84
Omega	1.5	1.5
Max Drawdown	-7.66%	-0.47%
Longest DD Days	183	94
Volatility (ann.)	6.15%	0.29%
R^2	0.0	0.0
Information Ratio	0.06	0.06
Calmar	1.74	14.85
Skew	-0.17	-0.58
Kurtosis	15.8	2.94
Expected Daily	0.05%	0.03%
Expected Monthly	1.01%	0.54%
Expected Yearly	8.85%	4.66%
Kelly Criterion	42.64%	91.75%
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	0.5	26.2
Gain/Pain (1M)	3.59	26.2
Payoff Ratio	1.98	0.72
Profit Factor	1.5	27.2
Common Sense Ratio	1.59	713.66
CPC Index	1.84	18.98
Tail Ratio	1.06	26.24
Outlier Win Ratio	2.07	17.17
Outlier Loss Ratio	1.86	17.55
MTD	-0.17%	0.04%
3M	4.36%	1.36%
6M	11.8%	1.85%
YTD	-0.17%	0.04%
1Y	29.09%	5.73%
3Y (ann.)	13.0%	7.45%
5Y (ann.)	13.33%	6.95%
10Y (ann.)	13.33%	6.95%
All-time (ann.)	13.33%	6.95%
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	30.41%	9.51%
Worst Year	-0.17%	0.04%
Avg. Drawdown	-0.55%	-0.43%
Avg. Drawdown Days	10	78
Recovery Factor	6.89	54.66
Ulcer Index	0.02	0.0
Serenity Index	3.9	21.5
Avg. Up Month	1.83%	0.61%
Avg. Down Month	-0.18%	-0.47%
Win Days	61.86%	96.54%
Win Month	71.43%	95.24%
Win Quarter	73.33%	93.33%
Win Year	80.0%	100.0%
Beta	0.41	-
Alpha	0.1	-
Correlation	1.94%	-
Treynor Ratio	129.02%	-