BOND[Strategy] vs RUB Inflation[Benchmark]

18 Aug, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	14.8%	10.91%
CAGR﹪	8.52%	6.33%
Sharpe	1.41	22.69
Prob. Sharpe Ratio	95.37%	100.0%
Smart Sharpe	1.17	18.74
Sortino	1.92	50.7
Smart Sortino	1.58	41.86
Sortino/√2	1.36	35.85
Smart Sortino/√2	1.12	29.6
Omega	1.37	1.37
Max Drawdown	-6.01%	-0.47%
Longest DD Days	183	94
Volatility (ann.)	5.85%	0.27%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	1.42	13.52
Skew	-1.74	-1.75
Kurtosis	24.0	6.58
Expected Daily	0.03%	0.02%
Expected Monthly	0.66%	0.49%
Expected Yearly	4.71%	3.51%
Kelly Criterion	36.0%	93.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.57%	-0.0%
Expected Shortfall (cVaR)	-0.57%	-0.0%
Max Consecutive Wins	11	420
Max Consecutive Losses	4	9
Gain/Pain Ratio	0.37	22.08
Gain/Pain (1M)	2.77	22.08
Payoff Ratio	1.38	0.48
Profit Factor	1.37	23.08
Common Sense Ratio	1.33	468.92
CPC Index	1.19	10.75
Tail Ratio	0.97	20.32
Outlier Win Ratio	2.44	17.78
Outlier Loss Ratio	2.06	10.01
MTD	0.09%	0.37%
3M	1.78%	1.65%
6M	4.91%	4.41%
YTD	2.69%	2.32%
1Y	4.74%	7.77%
3Y (ann.)	8.52%	6.33%
5Y (ann.)	8.52%	6.33%
10Y (ann.)	8.52%	6.33%
All-time (ann.)	8.52%	6.33%
Best Day	2.16%	0.05%
Worst Day	-3.42%	-0.05%
Best Month	5.89%	1.11%
Worst Month	-2.81%	-0.47%
Best Year	5.75%	7.42%
Worst Year	2.69%	0.91%
Avg. Drawdown	-0.44%	-0.47%
Avg. Drawdown Days	8	94
Recovery Factor	2.46	23.3
Ulcer Index	0.01	0.0
Serenity Index	1.64	5.5
Avg. Up Month	1.21%	0.55%
Avg. Down Month	-0.18%	-0.47%
Win Days	62.9%	97.9%
Win Month	76.19%	95.24%
Win Quarter	75.0%	87.5%
Win Year	100.0%	100.0%
Beta	0.36	-
Alpha	0.06	-
Correlation	1.62%	-
Treynor Ratio	41.66%	-