FMUS[Strategy] vs RUB Inflation[Benchmark]

8 Feb, 2021 - 2 May, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	15.07%	12.7%
CAGR﹪	6.5%	5.51%
Sharpe	0.39	14.76
Prob. Sharpe Ratio	70.1%	100.0%
Smart Sharpe	0.32	12.04
Sortino	0.51	53.34
Smart Sortino	0.41	43.48
Sortino/√2	0.36	37.72
Smart Sortino/√2	0.29	30.74
Omega	1.09	1.09
Max Drawdown	-43.69%	-1.25%
Longest DD Days	334	208
Volatility (ann.)	31.74%	0.41%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.15	4.39
Skew	-2.88	2.44
Kurtosis	47.61	30.03
Expected Daily	0.03%	0.02%
Expected Monthly	0.56%	0.48%
Expected Yearly	4.79%	4.07%
Kelly Criterion	-51.77%	78.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.24%	-0.02%
Expected Shortfall (cVaR)	-3.24%	-0.02%
Max Consecutive Wins	9	268
Max Consecutive Losses	12	64
Gain/Pain Ratio	0.09	9.47
Gain/Pain (1M)	0.34	9.47
Payoff Ratio	0.44	1.46
Profit Factor	1.09	10.47
Common Sense Ratio	1.32	29.59
CPC Index	0.26	13.36
Tail Ratio	1.2	2.83
Outlier Win Ratio	2.11	73.12
Outlier Loss Ratio	2.04	115.8
MTD	-2.65%	0.31%
3M	5.57%	1.5%
6M	25.76%	3.54%
YTD	8.03%	2.38%
1Y	-8.23%	2.5%
3Y (ann.)	6.5%	5.51%
5Y (ann.)	6.5%	5.51%
10Y (ann.)	6.5%	5.51%
All-time (ann.)	6.5%	5.51%
Best Day	12.69%	0.31%
Worst Day	-23.86%	-0.02%
Best Month	25.97%	1.17%
Worst Month	-41.8%	-0.52%
Best Year	20.04%	7.62%
Worst Year	-11.27%	2.29%
Avg. Drawdown	-6.62%	-1.25%
Avg. Drawdown Days	52	208
Recovery Factor	0.34	10.12
Ulcer Index	0.17	0.0
Serenity Index	0.06	0.78
Avg. Up Month	4.49%	0.62%
Avg. Down Month	-23.01%	-0.44%
Win Days	53.43%	87.23%
Win Month	68.0%	88.0%
Win Quarter	80.0%	80.0%
Win Year	66.67%	100.0%
Beta	2.94	-
Alpha	-0.05	-
Correlation	3.76%	-
Treynor Ratio	5.13%	-