FINC[Strategy] vs RUB Inflation[Benchmark]

2 Sep, 2024 - 8 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	82.0%	97.0%
Cumulative Return	2.14%	1.03%
CAGR﹪	12.21%	5.72%
Sharpe	3.08	88.43
Prob. Sharpe Ratio	84.82%	96.99%
Smart Sharpe	2.96	84.81
Sortino	4.7	-
Smart Sortino	4.5	-
Sortino/√2	3.32	-
Smart Sortino/√2	3.18	-
Omega	1.73	1.73
Max Drawdown	-1.38%	-
Longest DD Days	-	-
Volatility (ann.)	5.28%	0.09%
R^2	0.0	0.0
Information Ratio	0.1	0.1
Calmar	8.86	-
Skew	-0.68	-5.74
Kurtosis	2.08	33.0
Expected Daily	0.06%	0.03%
Expected Monthly	0.71%	0.34%
Expected Yearly	2.14%	1.03%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.48%	-0.02%
Expected Shortfall (cVaR)	-0.48%	-0.02%
Max Consecutive Wins	5	32
Max Consecutive Losses	2	0
Gain/Pain Ratio	0.73	-
Gain/Pain (1M)	7.41	-
Payoff Ratio	-	-
Profit Factor	1.73	-
Common Sense Ratio	2.59	-
CPC Index	-	-
Tail Ratio	1.5	1.0
Outlier Win Ratio	1.69	11.07
Outlier Loss Ratio	1.08	-
MTD	0.36%	0.13%
3M	2.14%	1.03%
6M	2.14%	1.03%
YTD	2.14%	1.03%
1Y	2.14%	1.03%
3Y (ann.)	12.21%	5.72%
5Y (ann.)	12.21%	5.72%
10Y (ann.)	12.21%	5.72%
All-time (ann.)	12.21%	5.72%
Best Day	0.68%	0.03%
Worst Day	-0.99%	0.0%
Best Month	2.08%	0.45%
Worst Month	-0.3%	0.13%
Best Year	2.14%	1.03%
Worst Year	2.14%	1.03%
Avg. Drawdown	-0.54%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.55	-
Ulcer Index	0.01	0.0
Serenity Index	1.11	-
Avg. Up Month	1.22%	0.29%
Avg. Down Month	-	-
Win Days	70.37%	100.0%
Win Month	66.67%	100.0%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%
Beta	2.09	-
Alpha	-0.0	-
Correlation	3.49%	-
Treynor Ratio	1.02%	-