FINC RUB[Strategy] vs [Benchmark] RUSFARIND RUB

13 Sep, 2024 - 20 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	70.0%	96.0%
Cumulative Return	28.76%	29.24%
CAGR﹪	20.54%	20.87%
Sharpe	0.47	11.47
Prob. Sharpe Ratio	23.31%	100.0%
Smart Sharpe	0.3	7.16
Sortino	0.93	132.13
Smart Sortino	0.58	82.48
Sortino/√2	0.65	93.43
Smart Sortino/√2	0.41	58.32
Omega	1.82	1.82
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	67.63%	1.06%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.51	-
Skew	9.18	4.72
Kurtosis	207.78	36.51
Expected Daily	0.07%	0.08%
Expected Monthly	1.5%	1.52%
Expected Yearly	8.79%	8.93%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.85%	-0.03%
Expected Shortfall (cVaR)	-6.85%	-0.03%
Max Consecutive Wins	8	100
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.09	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.09	-
Common Sense Ratio	6.07	-
CPC Index	-	-
Tail Ratio	2.9	4.07
Outlier Win Ratio	1.51	7.06
Outlier Loss Ratio	0.25	-
MTD	0.9%	0.91%
3M	4.26%	4.22%
6M	8.84%	8.87%
YTD	0.9%	0.91%
1Y	20.73%	20.69%
3Y (ann.)	20.54%	20.87%
5Y (ann.)	20.54%	20.87%
10Y (ann.)	20.54%	20.87%
All-time (ann.)	20.54%	20.87%
Best Day	67.49%	0.72%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.98%
Worst Month	0.41%	0.86%
Best Year	20.77%	21.01%
Worst Year	0.9%	0.91%
Avg. Drawdown	-0.92%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.72	-
Ulcer Index	0.02	0.0
Serenity Index	11.37	-
Avg. Up Month	1.5%	1.52%
Avg. Down Month	-	-
Win Days	76.37%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-3.27	-
Alpha	1.01	-
Correlation	-5.15%	-
Treynor Ratio	-6.65%	-