FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	89.0%	100.0%
Cumulative Return	26.72%	10.02%
CAGR﹪	19.55%	7.47%
Sharpe	0.63	19.64
Prob. Sharpe Ratio	77.29%	100.0%
Smart Sharpe	0.39	12.26
Sortino	1.23	98.6
Smart Sortino	0.77	61.56
Sortino/√2	0.87	69.72
Smart Sortino/√2	0.54	43.53
Omega	2.03	2.03
Max Drawdown	-40.13%	-0.4%
Longest DD Days	29	66
Volatility (ann.)	76.74%	0.46%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.49	18.67
Skew	8.08	0.47
Kurtosis	161.24	0.27
Expected Daily	0.09%	0.04%
Expected Monthly	1.49%	0.6%
Expected Yearly	12.57%	4.89%
Kelly Criterion	72.54%	89.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-7.76%	-0.01%
Expected Shortfall (cVaR)	-7.76%	-0.01%
Max Consecutive Wins	10	172
Max Consecutive Losses	2	18
Gain/Pain Ratio	1.03	23.83
Gain/Pain (1M)	176.55	23.83
Payoff Ratio	7.58	1.71
Profit Factor	2.03	24.83
Common Sense Ratio	3.49	108.83
CPC Index	11.63	39.58
Tail Ratio	1.72	4.38
Outlier Win Ratio	0.97	11.62
Outlier Loss Ratio	0.3	11.58
MTD	1.54%	0.49%
3M	4.42%	1.44%
6M	9.27%	1.95%
YTD	20.77%	5.78%
1Y	20.88%	5.87%
3Y (ann.)	19.55%	7.47%
5Y (ann.)	19.55%	7.47%
10Y (ann.)	19.55%	7.47%
All-time (ann.)	19.55%	7.47%
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	20.77%	5.78%
Worst Year	4.93%	4.0%
Avg. Drawdown	-0.96%	-0.4%
Avg. Drawdown Days	3	66
Recovery Factor	0.67	25.05
Ulcer Index	0.02	0.0
Serenity Index	12.12	20.8
Avg. Up Month	1.63%	0.68%
Avg. Down Month	-	-
Win Days	75.74%	93.18%
Win Month	93.75%	93.75%
Win Quarter	83.33%	100.0%
Win Year	100.0%	100.0%
Beta	2.89	-
Alpha	0.22	-
Correlation	1.74%	-
Treynor Ratio	9.25%	-