FINC RUB[Strategy] vs [Benchmark] RUSFARIND RUB

13 Sep, 2024 - 9 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	72.0%	96.0%
Cumulative Return	31.16%	31.77%
CAGR﹪	20.04%	20.42%
Sharpe	0.46	11.47
Prob. Sharpe Ratio	21.88%	100.0%
Smart Sharpe	0.29	7.16
Sortino	0.9	134.25
Smart Sortino	0.56	83.8
Sortino/√2	0.64	94.93
Smart Sortino/√2	0.4	59.25
Omega	1.83	1.83
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	64.57%	1.03%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.5	-
Skew	9.62	4.78
Kurtosis	227.92	38.01
Expected Daily	0.07%	0.07%
Expected Monthly	1.44%	1.46%
Expected Yearly	9.46%	9.63%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.55%	-0.03%
Expected Shortfall (cVaR)	-6.55%	-0.03%
Max Consecutive Wins	10	100
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.12	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.12	-
Common Sense Ratio	6.75	-
CPC Index	-	-
Tail Ratio	3.18	4.14
Outlier Win Ratio	1.56	6.92
Outlier Loss Ratio	0.26	-
MTD	0.4%	0.29%
3M	3.87%	3.83%
6M	8.18%	8.2%
YTD	2.78%	2.89%
1Y	20.29%	19.67%
3Y (ann.)	20.04%	20.42%
5Y (ann.)	20.04%	20.42%
10Y (ann.)	20.04%	20.42%
All-time (ann.)	20.04%	20.42%
Best Day	67.49%	0.72%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.98%
Worst Month	0.4%	0.29%
Best Year	20.77%	21.01%
Worst Year	2.78%	2.89%
Avg. Drawdown	-0.86%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.78	-
Ulcer Index	0.02	0.0
Serenity Index	13.24	-
Avg. Up Month	1.44%	1.46%
Avg. Down Month	-	-
Win Days	77.07%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-3.13	-
Alpha	0.95	-
Correlation	-5.01%	-
Treynor Ratio	-7.71%	-