FINC RUB[Strategy] vs [Benchmark] RUSFARIND RUB

13 Sep, 2024 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	68.0%	97.0%
Cumulative Return	26.23%	26.68%
CAGR﹪	20.9%	21.25%
Sharpe	0.48	12.49
Prob. Sharpe Ratio	24.39%	100.0%
Smart Sharpe	0.3	7.8
Sortino	0.94	146.72
Smart Sortino	0.58	91.59
Sortino/√2	0.66	103.75
Smart Sortino/√2	0.41	64.77
Omega	1.81	1.81
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	70.48%	0.98%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.52	-
Skew	8.81	4.56
Kurtosis	191.31	39.12
Expected Daily	0.07%	0.08%
Expected Monthly	1.47%	1.49%
Expected Yearly	12.35%	12.55%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-7.14%	-0.03%
Expected Shortfall (cVaR)	-7.14%	-0.03%
Max Consecutive Wins	8	100
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.06	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.06	-
Common Sense Ratio	5.08	-
CPC Index	-	-
Tail Ratio	2.47	3.94
Outlier Win Ratio	1.46	7.17
Outlier Loss Ratio	0.23	-
MTD	0.44%	0.27%
3M	4.45%	4.22%
6M	9.59%	9.29%
YTD	19.46%	19.7%
1Y	21.4%	21.3%
3Y (ann.)	20.9%	21.25%
5Y (ann.)	20.9%	21.25%
10Y (ann.)	20.9%	21.25%
All-time (ann.)	20.9%	21.25%
Best Day	67.49%	0.72%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.98%
Worst Month	0.41%	0.27%
Best Year	19.46%	19.7%
Worst Year	5.67%	5.84%
Avg. Drawdown	-1.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.65	-
Ulcer Index	0.02	0.0
Serenity Index	9.63	-
Avg. Up Month	1.47%	1.49%
Avg. Down Month	-	-
Win Days	77.0%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-4.23	-
Alpha	1.21	-
Correlation	-5.88%	-
Treynor Ratio	-4.54%	-