BOND[Strategy] vs RUB Inflation[Benchmark]

18 Aug, 2022 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	15.22%	14.37%
CAGR﹪	6.85%	6.48%
Sharpe	1.14	23.48
Prob. Sharpe Ratio	94.3%	100.0%
Smart Sharpe	0.95	19.47
Sortino	1.55	58.41
Smart Sortino	1.29	48.43
Sortino/√2	1.1	41.3
Smart Sortino/√2	0.91	34.25
Omega	1.27	1.27
Max Drawdown	-6.01%	-0.47%
Longest DD Days	183	94
Volatility (ann.)	5.89%	0.26%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	1.14	13.84
Skew	-1.43	-1.43
Kurtosis	18.38	5.36
Expected Daily	0.03%	0.02%
Expected Monthly	0.53%	0.5%
Expected Yearly	4.84%	4.58%
Kelly Criterion	33.31%	94.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.58%	-0.0%
Expected Shortfall (cVaR)	-0.58%	-0.0%
Max Consecutive Wins	11	535
Max Consecutive Losses	5	9
Gain/Pain Ratio	0.27	28.63
Gain/Pain (1M)	2.09	28.63
Payoff Ratio	1.49	0.49
Profit Factor	1.27	29.63
Common Sense Ratio	1.28	642.86
CPC Index	1.14	14.14
Tail Ratio	1.01	21.7
Outlier Win Ratio	2.27	17.88
Outlier Loss Ratio	1.99	10.04
MTD	0.24%	0.05%
3M	1.15%	1.33%
6M	0.19%	3.39%
YTD	3.06%	5.51%
1Y	5.85%	8.15%
3Y (ann.)	6.85%	6.48%
5Y (ann.)	6.85%	6.48%
10Y (ann.)	6.85%	6.48%
All-time (ann.)	6.85%	6.48%
Best Day	2.16%	0.05%
Worst Day	-3.42%	-0.05%
Best Month	5.89%	1.14%
Worst Month	-2.81%	-0.47%
Best Year	5.75%	7.42%
Worst Year	3.06%	0.91%
Avg. Drawdown	-0.55%	-0.47%
Avg. Drawdown Days	12	94
Recovery Factor	2.53	30.7
Ulcer Index	0.01	0.0
Serenity Index	1.5	9.16
Avg. Up Month	1.14%	0.54%
Avg. Down Month	-0.18%	-0.47%
Win Days	60.04%	98.35%
Win Month	70.37%	96.3%
Win Quarter	70.0%	90.0%
Win Year	100.0%	100.0%
Beta	0.2	-
Alpha	0.05	-
Correlation	0.91%	-
Treynor Ratio	74.99%	-