CASH[Strategy] vs RUB Inflation[Benchmark]

7 Nov, 2024 - 29 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	36.0%	14.09%
CAGR﹪	18.53%	7.56%
Sharpe	3.21	18.42
Prob. Sharpe Ratio	99.64%	-
Smart Sharpe	1.88	10.78
Sortino	4.8	105.54
Smart Sortino	2.81	61.8
Sortino/√2	3.39	74.63
Smart Sortino/√2	1.99	43.7
Omega	5.3	5.3
Max Drawdown	-4.36%	-0.4%
Longest DD Days	9	63
Volatility (ann.)	4.74%	0.35%
R^2	0.0	0.0
Information Ratio	0.12	0.12
Calmar	4.25	18.9
Skew	0.75	0.92
Kurtosis	202.0	0.95
Expected Daily	0.06%	0.03%
Expected Monthly	1.41%	0.6%
Expected Yearly	10.79%	4.49%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.43%	-0.01%
Expected Shortfall (cVaR)	-0.43%	-0.01%
Max Consecutive Wins	242	308
Max Consecutive Losses	2	21
Gain/Pain Ratio	4.3	32.89
Gain/Pain (1M)	-	32.89
Payoff Ratio	-	-
Profit Factor	5.3	33.89
Common Sense Ratio	-	556.34
CPC Index	-	-
Tail Ratio	-	16.42
Outlier Win Ratio	4.01	11.31
Outlier Loss Ratio	0.47	8.05
MTD	1.07%	0.44%
3M	3.61%	1.87%
6M	7.17%	2.82%
YTD	9.7%	5.21%
1Y	16.05%	6.86%
3Y (ann.)	18.53%	7.56%
5Y (ann.)	18.53%	7.56%
10Y (ann.)	18.53%	7.56%
All-time (ann.)	18.53%	7.56%
Best Day	4.64%	0.08%
Worst Day	-4.36%	-0.02%
Best Month	1.76%	1.62%
Worst Month	1.07%	-0.4%
Best Year	20.26%	5.6%
Worst Year	3.09%	2.68%
Avg. Drawdown	-0.37%	-0.4%
Avg. Drawdown Days	2	63
Recovery Factor	8.25	35.22
Ulcer Index	0.0	0.0
Serenity Index	138.0	34.45
Avg. Up Month	1.4%	0.65%
Avg. Down Month	-	-
Win Days	95.43%	95.91%
Win Month	100.0%	95.45%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.25	-
Alpha	0.14	-
Correlation	1.83%	-
Treynor Ratio	145.55%	-