FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 3 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	88.0%	100.0%
Cumulative Return	25.03%	9.51%
CAGR﹪	19.54%	7.53%
Sharpe	0.64	19.45
Prob. Sharpe Ratio	76.6%	100.0%
Smart Sharpe	0.4	12.14
Sortino	1.24	97.2
Smart Sortino	0.78	60.69
Sortino/√2	0.88	68.73
Smart Sortino/√2	0.55	42.91
Omega	2.0	2.0
Max Drawdown	-40.13%	-0.4%
Longest DD Days	29	66
Volatility (ann.)	79.5%	0.48%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.49	18.82
Skew	7.8	0.39
Kurtosis	150.26	0.06
Expected Daily	0.09%	0.04%
Expected Monthly	1.41%	0.57%
Expected Yearly	11.82%	4.65%
Kelly Criterion	73.08%	88.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-8.04%	-0.01%
Expected Shortfall (cVaR)	-8.04%	-0.01%
Max Consecutive Wins	10	172
Max Consecutive Losses	2	18
Gain/Pain Ratio	1.0	22.68
Gain/Pain (1M)	171.89	22.68
Payoff Ratio	8.11	1.76
Profit Factor	2.0	23.68
Common Sense Ratio	3.45	107.94
CPC Index	12.35	38.6
Tail Ratio	1.72	4.56
Outlier Win Ratio	0.93	11.33
Outlier Loss Ratio	0.28	11.88
MTD	0.19%	0.05%
3M	4.32%	1.25%
6M	9.31%	1.66%
YTD	19.16%	5.3%
1Y	21.43%	6.69%
3Y (ann.)	19.54%	7.53%
5Y (ann.)	19.54%	7.53%
10Y (ann.)	19.54%	7.53%
All-time (ann.)	19.54%	7.53%
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	19.16%	5.3%
Worst Year	4.93%	4.0%
Avg. Drawdown	-1.06%	-0.4%
Avg. Drawdown Days	4	66
Recovery Factor	0.62	23.78
Ulcer Index	0.03	0.0
Serenity Index	10.94	18.92
Avg. Up Month	1.53%	0.65%
Avg. Down Month	-	-
Win Days	76.04%	92.68%
Win Month	93.75%	93.75%
Win Quarter	83.33%	100.0%
Win Year	100.0%	100.0%
Beta	2.81	-
Alpha	0.24	-
Correlation	1.68%	-
Treynor Ratio	8.92%	-