GOOD RUB[Strategy] vs FMMM RUB[Benchmark]

13 Dec, 2024 - 20 Feb, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	98.0%
Cumulative Return	5.14%	3.8%
CAGR﹪	30.34%	21.82%
Sharpe	-71.31	-150.66
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-69.11	-146.03
Sortino	-15.5	-15.79
Smart Sortino	-15.03	-15.3
Sortino/√2	-10.96	-11.16
Smart Sortino/√2	-10.63	-10.82
Omega	0.0	0.0
Max Drawdown	-0.25%	-0.04%
Longest DD Days	2	5
Volatility (ann.)	2.55%	1.25%
R^2	0.02	0.02
Information Ratio	0.16	0.16
Calmar	121.63	572.54
Skew	1.21	2.33
Kurtosis	5.97	6.83
Expected Daily	0.11%	0.08%
Expected Monthly	1.68%	1.25%
Expected Yearly	2.54%	1.88%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.16%	-0.05%
Expected Shortfall (cVaR)	-0.16%	-0.05%
Max Consecutive Wins	13	18
Max Consecutive Losses	1	1
Gain/Pain Ratio	5.81	65.52
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	6.81	66.52
Common Sense Ratio	16.35	2130.54
CPC Index	-	-
Tail Ratio	2.4	32.03
Outlier Win Ratio	3.23	5.78
Outlier Loss Ratio	1.25	4.73
MTD	1.24%	0.91%
3M	5.14%	3.8%
6M	5.14%	3.8%
YTD	2.79%	2.24%
1Y	5.14%	3.8%
3Y (ann.)	30.34%	21.82%
5Y (ann.)	30.34%	21.82%
10Y (ann.)	30.34%	21.82%
All-time (ann.)	30.34%	21.82%
Best Day	0.77%	0.37%
Worst Day	-0.25%	-0.04%
Best Month	2.28%	1.53%
Worst Month	1.24%	0.91%
Best Year	2.79%	2.24%
Worst Year	2.28%	1.53%
Avg. Drawdown	-0.11%	-0.03%
Avg. Drawdown Days	1	3
Recovery Factor	20.59	99.75
Ulcer Index	0.0	0.0
Serenity Index	-16659.75	-729389.87
Avg. Up Month	1.68%	1.25%
Avg. Down Month	-	-
Win Days	82.61%	95.65%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.31	-
Alpha	0.21	-
Correlation	15.46%	-
Treynor Ratio	-2207.4%	-