CORP RUB[Strategy] vs [Benchmark] RUCBTRNS RUB

21 Jul, 2026 - 4 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	91.0%	77.0%
Cumulative Return	2.48%	2.56%
CAGR﹪	21.99%	22.76%
Sharpe	1.76	4.33
Prob. Sharpe Ratio	80.79%	100.0%
Smart Sharpe	1.36	3.34
Sortino	2.71	16.84
Smart Sortino	2.09	13.0
Sortino/√2	1.92	11.91
Smart Sortino/√2	1.48	9.19
Omega	1.4	1.4
Max Drawdown	-0.73%	-0.16%
Longest DD Days	12	15
Volatility (ann.)	4.56%	1.95%
R^2	0.04	0.04
Information Ratio	-0.01	-0.01
Calmar	30.07	140.31
Skew	0.14	3.15
Kurtosis	1.75	12.97
Expected Daily	0.06%	0.06%
Expected Monthly	0.82%	0.85%
Expected Yearly	2.48%	2.56%
Kelly Criterion	19.63%	64.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.41%	-0.14%
Expected Shortfall (cVaR)	-0.41%	-0.14%
Max Consecutive Wins	11	8
Max Consecutive Losses	2	3
Gain/Pain Ratio	0.83	8.55
Gain/Pain (1M)	-	-
Payoff Ratio	0.49	3.57
Profit Factor	1.83	9.55
Common Sense Ratio	1.9	37.0
CPC Index	0.66	24.52
Tail Ratio	1.04	3.87
Outlier Win Ratio	3.86	7.64
Outlier Loss Ratio	1.02	9.16
MTD	0.19%	0.14%
3M	2.48%	2.56%
6M	2.48%	2.56%
YTD	2.48%	2.56%
1Y	2.48%	2.56%
3Y (ann.)	21.99%	22.76%
5Y (ann.)	21.99%	22.76%
10Y (ann.)	21.99%	22.76%
All-time (ann.)	21.99%	22.76%
Best Day	0.92%	0.65%
Worst Day	-0.55%	-0.06%
Best Month	1.46%	1.54%
Worst Month	0.19%	0.14%
Best Year	2.48%	2.56%
Worst Year	2.48%	2.56%
Avg. Drawdown	-0.46%	-0.09%
Avg. Drawdown Days	5	8
Recovery Factor	3.39	15.78
Ulcer Index	0.0	0.0
Serenity Index	-11.46	-84.57
Avg. Up Month	0.82%	0.85%
Avg. Down Month	-	-
Win Days	73.68%	71.88%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.48	-
Alpha	0.08	-
Correlation	20.37%	-
Treynor Ratio	-9.46%	-