FXRB RUB[Strategy] vs IMOEX RUB[Benchmark]

14 May, 2013 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	87.0%	100.0%
Cumulative Return	38.83%	75.74%
CAGR﹪	3.8%	6.62%
Sharpe	-14.44	-8.34
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-13.72	-7.92
Sortino	-11.4	-8.01
Smart Sortino	-10.83	-7.61
Sortino/√2	-8.06	-5.67
Smart Sortino/√2	-7.66	-5.38
Omega	0.05	0.05
Max Drawdown	-42.27%	-52.0%
Longest DD Days	780	393
Volatility (ann.)	14.12%	23.87%
R^2	0.03	0.03
Information Ratio	-0.01	-0.01
Calmar	0.09	0.13
Skew	-4.06	-4.54
Kurtosis	176.97	132.2
Expected Daily	0.02%	0.03%
Expected Monthly	0.31%	0.53%
Expected Yearly	3.34%	5.8%
Kelly Criterion	7.57%	-12.91%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.44%	-2.43%
Expected Shortfall (cVaR)	-1.44%	-2.43%
Max Consecutive Wins	9	11
Max Consecutive Losses	7	9
Gain/Pain Ratio	0.11	0.09
Gain/Pain (1M)	0.52	0.53
Payoff Ratio	0.86	0.72
Profit Factor	1.11	1.09
Common Sense Ratio	1.12	1.09
CPC Index	0.55	0.41
Tail Ratio	1.01	1.0
Outlier Win Ratio	8.42	2.89
Outlier Loss Ratio	5.94	3.05
MTD	-21.51%	-30.02%
3M	-24.97%	-37.47%
6M	-24.86%	-36.47%
YTD	-25.05%	-34.77%
1Y	-21.47%	-27.03%
3Y (ann.)	-1.91%	-0.31%
5Y (ann.)	2.05%	3.97%
10Y (ann.)	3.8%	6.62%
All-time (ann.)	3.8%	6.62%
Best Day	15.11%	20.04%
Worst Day	-19.87%	-33.28%
Best Month	9.78%	17.98%
Worst Month	-21.51%	-30.02%
Best Year	33.04%	28.55%
Worst Year	-25.05%	-34.77%
Avg. Drawdown	-0.91%	-4.12%
Avg. Drawdown Days	15	37
Recovery Factor	0.92	1.46
Ulcer Index	0.06	0.08
Serenity Index	-8.63	-7.6
Avg. Up Month	1.67%	3.5%
Avg. Down Month	-4.29%	-6.4%
Win Days	57.38%	52.79%
Win Month	73.58%	62.26%
Win Quarter	75.0%	66.67%
Win Year	70.0%	70.0%
Beta	0.1	-
Alpha	0.04	-
Correlation	16.46%	-
Treynor Ratio	-6791.64%	-