FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 21 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	37.39%	15.19%
CAGR﹪	18.38%	7.8%
Sharpe	0.6	19.3
Prob. Sharpe Ratio	81.21%	-
Smart Sharpe	0.37	12.05
Sortino	1.17	119.48
Smart Sortino	0.73	74.57
Sortino/√2	0.83	84.48
Smart Sortino/√2	0.52	52.73
Omega	2.09	2.09
Max Drawdown	-40.13%	-0.4%
Longest DD Days	29	66
Volatility (ann.)	62.84%	0.47%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.46	19.51
Skew	9.84	0.78
Kurtosis	239.74	0.55
Expected Daily	0.08%	0.04%
Expected Monthly	1.39%	0.62%
Expected Yearly	11.17%	4.83%
Kelly Criterion	71.87%	92.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.36%	-0.01%
Expected Shortfall (cVaR)	-6.36%	-0.01%
Max Consecutive Wins	16	205
Max Consecutive Losses	2	18
Gain/Pain Ratio	1.09	35.3
Gain/Pain (1M)	204.96	35.3
Payoff Ratio	5.34	1.65
Profit Factor	2.09	36.3
Common Sense Ratio	5.05	552.91
CPC Index	8.49	57.3
Tail Ratio	2.42	15.23
Outlier Win Ratio	1.28	12.18
Outlier Loss Ratio	0.39	11.08
MTD	1.04%	0.66%
3M	3.66%	1.76%
6M	7.45%	3.88%
YTD	8.42%	4.88%
1Y	16.95%	6.4%
3Y (ann.)	18.38%	7.8%
5Y (ann.)	18.38%	7.8%
10Y (ann.)	18.38%	7.8%
All-time (ann.)	18.38%	7.8%
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	4.93%	4.0%
Avg. Drawdown	-0.71%	-0.4%
Avg. Drawdown Days	3	66
Recovery Factor	0.93	37.98
Ulcer Index	0.02	0.0
Serenity Index	20.78	48.32
Avg. Up Month	1.47%	0.67%
Avg. Down Month	-	-
Win Days	76.31%	95.44%
Win Month	95.65%	95.65%
Win Quarter	88.89%	100.0%
Win Year	100.0%	100.0%
Beta	2.0	-
Alpha	0.2	-
Correlation	1.49%	-
Treynor Ratio	18.68%	-