FXRU RUB[Strategy] vs IMOEX RUB[Benchmark]

18 Jun, 2014 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	94.0%	100.0%
Cumulative Return	112.37%	65.33%
CAGR﹪	10.28%	6.75%
Sharpe	-0.29	-8.37
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-0.26	-7.56
Sortino	-2.41	-8.04
Smart Sortino	-2.18	-7.27
Sortino/√2	-1.7	-5.69
Smart Sortino/√2	-1.54	-5.14
Omega	0.61	0.61
Max Drawdown	-90.76%	-52.0%
Longest DD Days	1300	379
Volatility (ann.)	322.76%	23.81%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.11	0.13
Skew	42.86	-4.85
Kurtosis	1865.81	146.77
Expected Daily	0.04%	0.03%
Expected Monthly	0.81%	0.54%
Expected Yearly	8.73%	5.75%
Kelly Criterion	-16.47%	3.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-32.98%	-2.43%
Expected Shortfall (cVaR)	-32.98%	-2.43%
Max Consecutive Wins	11	11
Max Consecutive Losses	9	9
Gain/Pain Ratio	1.27	0.09
Gain/Pain (1M)	10.97	0.54
Payoff Ratio	0.71	0.96
Profit Factor	2.27	1.09
Common Sense Ratio	2.53	1.13
CPC Index	0.84	0.56
Tail Ratio	1.11	1.04
Outlier Win Ratio	2.0	3.51
Outlier Loss Ratio	3.8	3.42
MTD	-23.26%	-30.02%
3M	-25.32%	-37.47%
6M	-25.19%	-36.47%
YTD	-24.55%	-34.77%
1Y	-24.22%	-27.03%
3Y (ann.)	-0.97%	-0.31%
5Y (ann.)	3.47%	3.97%
10Y (ann.)	10.28%	6.75%
All-time (ann.)	10.28%	6.75%
Best Day	884.07%	20.04%
Worst Day	-89.97%	-33.28%
Best Month	19.06%	17.98%
Worst Month	-23.26%	-30.02%
Best Year	50.32%	28.55%
Worst Year	-24.55%	-34.77%
Avg. Drawdown	-4.97%	-3.99%
Avg. Drawdown Days	55	34
Recovery Factor	1.24	1.26
Ulcer Index	0.11	0.08
Serenity Index	-54.99	-7.65
Avg. Up Month	3.83%	2.73%
Avg. Down Month	-4.05%	-6.46%
Win Days	51.53%	52.93%
Win Month	60.22%	65.59%
Win Quarter	50.0%	65.62%
Win Year	55.56%	66.67%
Beta	0.04	-
Alpha	1.16	-
Correlation	0.29%	-
Treynor Ratio	-15204.08%	-