FMUS RUB[Strategy] vs INGO RUB[Benchmark]

3 Aug, 2021 - 2 May, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	94.0%
Cumulative Return	4.38%	13.72%
CAGR﹪	2.49%	7.64%
Sharpe	0.08	0.2
Prob. Sharpe Ratio	15.66%	29.14%
Smart Sharpe	0.06	0.16
Sortino	0.1	0.29
Smart Sortino	0.08	0.24
Sortino/√2	0.07	0.21
Smart Sortino/√2	0.06	0.17
Omega	1.02	1.02
Max Drawdown	-43.69%	-13.53%
Longest DD Days	334	143
Volatility (ann.)	35.36%	14.71%
R^2	0.01	0.01
Information Ratio	-0.0	-0.0
Calmar	0.06	0.56
Skew	-2.76	0.2
Kurtosis	40.71	81.22
Expected Daily	0.01%	0.03%
Expected Monthly	0.23%	0.68%
Expected Yearly	1.44%	4.38%
Kelly Criterion	4.09%	-15.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.63%	-1.49%
Expected Shortfall (cVaR)	-3.63%	-1.49%
Max Consecutive Wins	9	14
Max Consecutive Losses	12	5
Gain/Pain Ratio	0.07	0.27
Gain/Pain (1M)	0.2	1.54
Payoff Ratio	0.96	0.63
Profit Factor	1.07	1.27
Common Sense Ratio	1.19	1.35
CPC Index	0.54	0.44
Tail Ratio	1.11	1.06
Outlier Win Ratio	2.95	10.94
Outlier Loss Ratio	3.21	11.71
MTD	-2.65%	0.09%
3M	5.57%	2.23%
6M	25.76%	4.62%
YTD	8.03%	2.55%
1Y	-8.23%	21.05%
3Y (ann.)	2.49%	7.64%
5Y (ann.)	2.49%	7.64%
10Y (ann.)	2.49%	7.64%
All-time (ann.)	2.49%	7.64%
Best Day	12.69%	9.6%
Worst Day	-23.86%	-10.42%
Best Month	25.97%	11.82%
Worst Month	-41.8%	-5.9%
Best Year	8.9%	9.9%
Worst Year	-11.27%	0.89%
Avg. Drawdown	-6.65%	-0.83%
Avg. Drawdown Days	46	11
Recovery Factor	0.1	1.01
Ulcer Index	0.19	0.01
Serenity Index	-0.01	2.16
Avg. Up Month	7.65%	1.19%
Avg. Down Month	-4.51%	-1.1%
Win Days	52.94%	55.49%
Win Month	68.42%	68.42%
Win Quarter	75.0%	87.5%
Win Year	66.67%	100.0%
Beta	-0.27	-
Alpha	0.12	-
Correlation	-11.43%	-
Treynor Ratio	9.51%	-