GMKN RUB[Strategy] vs IMOEX RUB[Benchmark]

15 Jan, 2010 - 11 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	108.31%	81.87%
CAGR﹪	4.85%	3.94%
Sharpe	0.09	-0.0
Prob. Sharpe Ratio	0.08%	0.08%
Smart Sharpe	0.09	-0.0
Sortino	0.13	-0.01
Smart Sortino	0.13	-0.01
Sortino/√2	0.09	-0.0
Smart Sortino/√2	0.09	-0.0
Omega	1.02	1.02
Max Drawdown	-66.09%	-55.29%
Longest DD Days	1602	1691
Volatility (ann.)	31.0%	23.17%
R^2	0.34	0.34
Information Ratio	0.01	0.01
Calmar	0.07	0.07
Skew	-0.17	-2.84
Kurtosis	6.35	82.91
Expected Daily	0.02%	0.02%
Expected Monthly	0.39%	0.32%
Expected Yearly	4.69%	3.81%
Kelly Criterion	1.69%	2.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.17%	-2.37%
Expected Shortfall (cVaR)	-3.17%	-2.37%
Max Consecutive Wins	12	11
Max Consecutive Losses	11	14
Gain/Pain Ratio	0.06	0.06
Gain/Pain (1M)	0.31	0.3
Payoff Ratio	0.99	0.96
Profit Factor	1.06	1.06
Common Sense Ratio	1.03	1.05
CPC Index	0.54	0.53
Tail Ratio	0.98	0.99
Outlier Win Ratio	3.03	4.52
Outlier Loss Ratio	3.24	4.64
MTD	-8.59%	-7.21%
3M	-10.75%	-4.42%
6M	-12.19%	-6.46%
YTD	-11.44%	-8.36%
1Y	-17.72%	-11.21%
3Y (ann.)	-12.39%	7.29%
5Y (ann.)	-13.37%	-2.29%
10Y (ann.)	1.07%	4.99%
All-time (ann.)	4.85%	3.94%
Best Day	17.17%	20.04%
Worst Day	-14.71%	-33.28%
Best Month	43.69%	17.98%
Worst Month	-22.81%	-30.02%
Best Year	49.66%	43.87%
Worst Year	-33.19%	-43.12%
Avg. Drawdown	-6.97%	-4.26%
Avg. Drawdown Days	90	66
Recovery Factor	1.64	1.48
Ulcer Index	0.29	0.21
Serenity Index	0.13	0.13
Avg. Up Month	7.21%	4.42%
Avg. Down Month	-6.07%	-5.69%
Win Days	51.01%	52.32%
Win Month	51.87%	59.89%
Win Quarter	50.0%	60.32%
Win Year	62.5%	62.5%
Beta	0.78	-
Alpha	0.04	-
Correlation	58.35%	-
Treynor Ratio	129.75%	-