FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 29 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	40.98%	14.87%
CAGR﹪	18.01%	6.91%
Sharpe	0.58	16.07
Prob. Sharpe Ratio	82.38%	-
Smart Sharpe	0.36	10.03
Sortino	1.14	106.19
Smart Sortino	0.71	66.27
Sortino/√2	0.8	75.09
Smart Sortino/√2	0.5	46.86
Omega	2.1	2.1
Max Drawdown	-40.13%	-0.4%
Longest DD Days	29	66
Volatility (ann.)	58.5%	0.48%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.45	17.28
Skew	10.58	0.93
Kurtosis	276.7	0.63
Expected Daily	0.08%	0.03%
Expected Monthly	1.38%	0.56%
Expected Yearly	12.13%	4.73%
Kelly Criterion	70.28%	82.32%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.93%	-0.02%
Expected Shortfall (cVaR)	-5.93%	-0.02%
Max Consecutive Wins	16	215
Max Consecutive Losses	2	51
Gain/Pain Ratio	1.1	24.87
Gain/Pain (1M)	213.93	24.87
Payoff Ratio	5.22	5.95
Profit Factor	2.1	25.87
Common Sense Ratio	4.65	852.71
CPC Index	8.23	130.58
Tail Ratio	2.21	32.97
Outlier Win Ratio	1.3	11.73
Outlier Loss Ratio	0.45	29.84
MTD	1.21%	-0.08%
3M	3.91%	0.47%
6M	7.46%	1.63%
YTD	11.25%	4.59%
1Y	16.02%	5.94%
3Y (ann.)	18.01%	6.91%
5Y (ann.)	18.01%	6.91%
10Y (ann.)	18.01%	6.91%
All-time (ann.)	18.01%	6.91%
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	-0.6%	-0.28%
Avg. Drawdown Days	3	62
Recovery Factor	1.02	37.18
Ulcer Index	0.02	0.0
Serenity Index	24.51	44.8
Avg. Up Month	1.49%	0.67%
Avg. Down Month	-	-
Win Days	75.06%	84.87%
Win Month	96.0%	88.0%
Win Quarter	88.89%	100.0%
Win Year	100.0%	100.0%
Beta	2.19	-
Alpha	0.17	-
Correlation	1.79%	-
Treynor Ratio	18.67%	-