BOND[Strategy] vs RUB Inflation[Benchmark]

18 Aug, 2022 - 17 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	34.94%	23.17%
CAGR﹪	11.16%	7.63%
Sharpe	1.67	25.27
Prob. Sharpe Ratio	99.71%	100.0%
Smart Sharpe	1.61	24.38
Sortino	2.49	78.52
Smart Sortino	2.4	75.76
Sortino/√2	1.76	55.52
Smart Sortino/√2	1.7	53.57
Omega	1.41	1.41
Max Drawdown	-7.66%	-0.47%
Longest DD Days	183	94
Volatility (ann.)	6.35%	0.29%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	1.46	16.3
Skew	-0.12	-0.65
Kurtosis	16.55	3.68
Expected Daily	0.04%	0.03%
Expected Monthly	0.86%	0.6%
Expected Yearly	7.78%	5.35%
Kelly Criterion	36.62%	96.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.62%	-0.0%
Expected Shortfall (cVaR)	-0.62%	-0.0%
Max Consecutive Wins	11	716
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.41	44.43
Gain/Pain (1M)	2.64	44.43
Payoff Ratio	1.73	0.56
Profit Factor	1.41	45.43
Common Sense Ratio	1.47	324.32
CPC Index	1.46	24.94
Tail Ratio	1.04	7.14
Outlier Win Ratio	2.22	17.55
Outlier Loss Ratio	1.92	10.04
MTD	2.23%	0.18%
3M	7.01%	1.36%
6M	24.97%	4.44%
YTD	14.95%	3.76%
1Y	18.9%	9.76%
3Y (ann.)	11.16%	7.63%
5Y (ann.)	11.16%	7.63%
10Y (ann.)	11.16%	7.63%
All-time (ann.)	11.16%	7.63%
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	14.95%	9.51%
Worst Year	5.0%	0.91%
Avg. Drawdown	-0.55%	-0.47%
Avg. Drawdown Days	10	94
Recovery Factor	4.56	49.49
Ulcer Index	0.02	0.0
Serenity Index	2.28	21.54
Avg. Up Month	1.7%	0.62%
Avg. Down Month	-0.18%	-0.47%
Win Days	59.83%	98.76%
Win Month	71.43%	97.14%
Win Quarter	75.0%	91.67%
Win Year	100.0%	100.0%
Beta	0.87	-
Alpha	0.04	-
Correlation	3.9%	-
Treynor Ratio	40.33%	-