FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	69.0%	0.0%
Cumulative Return	0.1%	0.0%
CAGR﹪	1.03%	0.0%
Sharpe	0.26	-
Prob. Sharpe Ratio	52.79%	-
Smart Sharpe	0.24	-
Sortino	0.35	-
Smart Sortino	0.32	-
Sortino/√2	0.24	-
Smart Sortino/√2	0.22	-
Omega	1.06	1.06
Max Drawdown	-1.38%	-
Longest DD Days	-	-
Volatility (ann.)	5.49%	0.0%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.75	-
Skew	-1.04	0.0
Kurtosis	3.26	0.0
Expected Daily	0.01%	0.0%
Expected Monthly	0.05%	0.0%
Expected Yearly	0.1%	0.0%
Kelly Criterion	-	-
Risk of Ruin	0.0%	1.0%
Daily Value-at-Risk	-0.56%	-
Expected Shortfall (cVaR)	-0.56%	-
Max Consecutive Wins	4	0
Max Consecutive Losses	2	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.38	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.36	-
CPC Index	-	-
Tail Ratio	1.29	-
Outlier Win Ratio	2.13	-
Outlier Loss Ratio	0.89	-
MTD	0.4%	0.0%
3M	0.1%	0.0%
6M	0.1%	0.0%
YTD	0.1%	0.0%
1Y	0.1%	0.0%
3Y (ann.)	1.03%	0.0%
5Y (ann.)	1.03%	0.0%
10Y (ann.)	1.03%	0.0%
All-time (ann.)	1.03%	0.0%
Best Day	0.59%	0.0%
Worst Day	-0.99%	0.0%
Best Month	0.4%	0.0%
Worst Month	-0.3%	0.0%
Best Year	0.1%	0.0%
Worst Year	0.1%	0.0%
Avg. Drawdown	-0.89%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.07	-
Ulcer Index	0.01	0.0
Serenity Index	0.03	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	69.23%	0.0%
Win Month	50.0%	0.0%
Win Quarter	50.0%	0.0%
Win Year	100.0%	0.0%
Beta	0.0	-
Alpha	0.0	-
Correlation	-	-
Treynor Ratio	0%	-