FXBC RUB[Strategy] vs Deposit RUB[Benchmark]

15 Feb, 2022 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	88.0%	88.0%
Cumulative Return	-6.26%	0.63%
CAGR﹪	-90.57%	25.57%
Sharpe	-3.87	39.29
Prob. Sharpe Ratio	26.63%	93.49%
Smart Sharpe	-3.14	31.91
Sortino	-4.94	-
Smart Sortino	-4.01	-
Sortino/√2	-3.49	-
Smart Sortino/√2	-2.84	-
Omega	0.49	0.49
Max Drawdown	-10.49%	-
Longest DD Days	-	-
Volatility (ann.)	49.64%	0.5%
R^2	0.01	0.01
Information Ratio	-0.27	-0.27
Calmar	-8.64	-
Skew	0.26	-2.83
Kurtosis	1.29	8.0
Expected Daily	-0.81%	0.08%
Expected Monthly	-6.26%	0.63%
Expected Yearly	-6.26%	0.63%
Kelly Criterion	-	-
Risk of Ruin	0.01%	0.0%
Daily Value-at-Risk	-5.91%	-0.03%
Expected Shortfall (cVaR)	-5.91%	-0.03%
Max Consecutive Wins	1	7
Max Consecutive Losses	2	0
Gain/Pain Ratio	-0.51	-
Gain/Pain (1M)	-1.0	-
Payoff Ratio	-	-
Profit Factor	0.49	-
Common Sense Ratio	0.36	-
CPC Index	-	-
Tail Ratio	0.73	2.86
Outlier Win Ratio	1.19	30.16
Outlier Loss Ratio	1.17	-
MTD	-6.26%	0.63%
3M	-6.26%	0.63%
6M	-6.26%	0.63%
YTD	-6.26%	0.63%
1Y	-6.26%	0.63%
3Y (ann.)	-90.57%	25.57%
5Y (ann.)	-90.57%	25.57%
10Y (ann.)	-90.57%	25.57%
All-time (ann.)	-90.57%	25.57%
Best Day	4.88%	0.09%
Worst Day	-5.85%	0.0%
Best Month	-6.26%	0.63%
Worst Month	-6.26%	0.63%
Best Year	-6.26%	0.63%
Worst Year	-6.26%	0.63%
Avg. Drawdown	-10.49%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.6	-
Ulcer Index	0.07	0.0
Serenity Index	-0.25	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	28.57%	100.0%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-9.77	-
Alpha	-0.0	-
Correlation	-9.85%	-
Treynor Ratio	0.64%	-