FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 24 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	32.64%	13.62%
CAGR﹪	18.78%	8.09%
Sharpe	0.61	19.9
Prob. Sharpe Ratio	79.55%	-
Smart Sharpe	0.38	12.42
Sortino	1.19	117.11
Smart Sortino	0.75	73.1
Sortino/√2	0.84	82.81
Smart Sortino/√2	0.53	51.69
Omega	2.09	2.09
Max Drawdown	-40.13%	-0.4%
Longest DD Days	29	66
Volatility (ann.)	68.14%	0.48%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.47	20.23
Skew	9.1	0.7
Kurtosis	204.55	0.37
Expected Daily	0.08%	0.04%
Expected Monthly	1.42%	0.64%
Expected Yearly	9.87%	4.35%
Kelly Criterion	72.09%	91.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.89%	-0.01%
Expected Shortfall (cVaR)	-6.89%	-0.01%
Max Consecutive Wins	16	172
Max Consecutive Losses	2	18
Gain/Pain Ratio	1.09	31.87
Gain/Pain (1M)	192.42	31.87
Payoff Ratio	6.02	1.79
Profit Factor	2.09	32.87
Common Sense Ratio	4.76	149.83
CPC Index	9.59	55.75
Tail Ratio	2.27	4.56
Outlier Win Ratio	1.11	10.82
Outlier Loss Ratio	0.35	10.89
MTD	0.79%	0.46%
3M	3.75%	2.24%
6M	7.87%	4.34%
YTD	4.67%	3.45%
1Y	18.51%	6.04%
3Y (ann.)	18.78%	8.09%
5Y (ann.)	18.78%	8.09%
10Y (ann.)	18.78%	8.09%
All-time (ann.)	18.78%	8.09%
Best Day	67.49%	0.11%
Worst Day	-40.13%	-0.02%
Best Month	2.28%	1.62%
Worst Month	-0.3%	-0.4%
Best Year	20.77%	5.6%
Worst Year	4.67%	3.45%
Avg. Drawdown	-0.77%	-0.4%
Avg. Drawdown Days	3	66
Recovery Factor	0.81	34.05
Ulcer Index	0.02	0.0
Serenity Index	16.75	37.68
Avg. Up Month	1.52%	0.71%
Avg. Down Month	-	-
Win Days	76.07%	94.63%
Win Month	95.0%	95.0%
Win Quarter	87.5%	100.0%
Win Year	100.0%	100.0%
Beta	1.95	-
Alpha	0.23	-
Correlation	1.38%	-
Treynor Ratio	16.72%	-