FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 20 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	22.7%	8.78%
CAGR﹪	19.82%	7.72%
Sharpe	0.65	19.25
Prob. Sharpe Ratio	75.63%	100.0%
Smart Sharpe	0.4	12.02
Sortino	1.27	95.36
Smart Sortino	0.79	59.54
Sortino/√2	0.9	67.43
Smart Sortino/√2	0.56	42.1
Omega	1.97	1.97
Max Drawdown	-40.13%	-0.4%
Longest DD Days	29	66
Volatility (ann.)	84.25%	0.5%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.49	19.3
Skew	7.36	0.24
Kurtosis	133.79	-0.23
Expected Daily	0.09%	0.04%
Expected Monthly	1.47%	0.6%
Expected Yearly	10.77%	4.3%
Kelly Criterion	73.28%	87.35%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-8.51%	-0.01%
Expected Shortfall (cVaR)	-8.51%	-0.01%
Max Consecutive Wins	10	172
Max Consecutive Losses	2	18
Gain/Pain Ratio	0.97	21.0
Gain/Pain (1M)	165.34	21.0
Payoff Ratio	9.13	1.86
Profit Factor	1.97	22.0
Common Sense Ratio	3.72	100.27
CPC Index	13.68	37.48
Tail Ratio	1.89	4.56
Outlier Win Ratio	0.85	10.81
Outlier Loss Ratio	0.26	12.32
MTD	0.81%	0.28%
3M	4.44%	0.47%
6M	10.02%	1.56%
YTD	16.94%	4.59%
1Y	21.27%	7.77%
3Y (ann.)	19.82%	7.72%
5Y (ann.)	19.82%	7.72%
10Y (ann.)	19.82%	7.72%
All-time (ann.)	19.82%	7.72%
Best Day	67.49%	0.1%
Worst Day	-40.13%	-0.02%
Best Month	2.28%	1.43%
Worst Month	-0.3%	-0.4%
Best Year	16.94%	4.59%
Worst Year	4.93%	4.0%
Avg. Drawdown	-1.21%	-0.4%
Avg. Drawdown Days	4	66
Recovery Factor	0.57	21.94
Ulcer Index	0.03	0.0
Serenity Index	9.34	16.25
Avg. Up Month	1.63%	0.7%
Avg. Down Month	-	-
Win Days	75.92%	91.78%
Win Month	92.86%	92.86%
Win Quarter	83.33%	100.0%
Win Year	100.0%	100.0%
Beta	2.65	-
Alpha	0.29	-
Correlation	1.57%	-
Treynor Ratio	8.58%	-