FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 15 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	17.28%	8.54%
CAGR﹪	20.22%	9.93%
Sharpe	0.68	31.52
Prob. Sharpe Ratio	73.23%	-
Smart Sharpe	0.43	19.69
Sortino	1.34	-
Smart Sortino	0.84	-
Sortino/√2	0.95	-
Smart Sortino/√2	0.59	-
Omega	1.9	1.9
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	98.55%	0.41%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.5	-
Skew	6.29	0.67
Kurtosis	97.79	-0.89
Expected Daily	0.1%	0.05%
Expected Monthly	1.46%	0.75%
Expected Yearly	8.3%	4.18%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-9.94%	-0.01%
Expected Shortfall (cVaR)	-9.94%	-0.01%
Max Consecutive Wins	10	160
Max Consecutive Losses	2	0
Gain/Pain Ratio	0.9	-
Gain/Pain (1M)	149.63	-
Payoff Ratio	-	-
Profit Factor	1.9	-
Common Sense Ratio	3.48	-
CPC Index	-	-
Tail Ratio	1.83	4.32
Outlier Win Ratio	0.68	9.58
Outlier Loss Ratio	0.25	-
MTD	0.88%	0.25%
3M	5.53%	1.44%
6M	10.84%	4.02%
YTD	11.77%	4.36%
1Y	17.28%	8.54%
3Y (ann.)	20.22%	9.93%
5Y (ann.)	20.22%	9.93%
10Y (ann.)	20.22%	9.93%
All-time (ann.)	20.22%	9.93%
Best Day	67.49%	0.1%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.43%
Worst Month	-0.3%	0.25%
Best Year	11.77%	4.36%
Worst Year	4.93%	4.0%
Avg. Drawdown	-1.64%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.43	-
Ulcer Index	0.03	0.0
Serenity Index	6.03	-
Avg. Up Month	1.64%	0.78%
Avg. Down Month	-	-
Win Days	73.88%	100.0%
Win Month	90.91%	100.0%
Win Quarter	80.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.88	-
Alpha	0.43	-
Correlation	0.78%	-
Treynor Ratio	9.18%	-