FINC RUB[Strategy] vs [Benchmark] RUSFARIND RUB

13 Sep, 2024 - 22 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	77.0%	96.0%
Cumulative Return	38.43%	39.08%
CAGR﹪	19.16%	19.47%
Sharpe	0.44	11.33
Prob. Sharpe Ratio	18.44%	100.0%
Smart Sharpe	0.27	7.07
Sortino	0.86	127.56
Smart Sortino	0.53	79.6
Sortino/√2	0.61	90.2
Smart Sortino/√2	0.38	56.29
Omega	1.81	1.81
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	57.67%	0.97%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.48	-
Skew	10.74	4.82
Kurtosis	284.82	40.71
Expected Daily	0.07%	0.07%
Expected Monthly	1.42%	1.44%
Expected Yearly	11.45%	11.62%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.85%	-0.03%
Expected Shortfall (cVaR)	-5.85%	-0.03%
Max Consecutive Wins	10	100
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.13	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.13	-
Common Sense Ratio	6.41	-
CPC Index	-	-
Tail Ratio	3.01	4.44
Outlier Win Ratio	1.7	7.04
Outlier Loss Ratio	0.32	-
MTD	1.09%	0.84%
3M	3.75%	3.6%
6M	7.51%	7.53%
YTD	8.47%	8.59%
1Y	16.97%	16.98%
3Y (ann.)	19.16%	19.47%
5Y (ann.)	19.16%	19.47%
10Y (ann.)	19.16%	19.47%
All-time (ann.)	19.16%	19.47%
Best Day	67.49%	0.72%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.98%
Worst Month	0.41%	0.84%
Best Year	20.77%	21.01%
Worst Year	5.67%	5.84%
Avg. Drawdown	-0.7%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.96	-
Ulcer Index	0.02	0.0
Serenity Index	19.26	-
Avg. Up Month	1.42%	1.45%
Avg. Down Month	-	-
Win Days	76.82%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-2.63	-
Alpha	0.79	-
Correlation	-4.41%	-
Treynor Ratio	-11.93%	-