GPBC[Strategy] vs RUB Inflation[Benchmark]

2 Feb, 2022 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	95.0%
Cumulative Return	-1.33%	1.1%
CAGR﹪	-19.08%	18.97%
Sharpe	-0.35	61.6
Prob. Sharpe Ratio	46.52%	96.13%
Smart Sharpe	-0.16	28.74
Sortino	-0.6	-
Smart Sortino	-0.28	-
Sortino/√2	-0.43	-
Smart Sortino/√2	-0.2	-
Omega	0.94	0.94
Max Drawdown	-4.28%	-
Longest DD Days	-	-
Volatility (ann.)	37.6%	0.26%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-4.46	-
Skew	1.27	-4.12
Kurtosis	2.37	17.0
Expected Daily	-0.08%	0.06%
Expected Monthly	-1.33%	1.1%
Expected Yearly	-1.33%	1.1%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.95%	-0.04%
Expected Shortfall (cVaR)	-3.95%	-0.04%
Max Consecutive Wins	1	16
Max Consecutive Losses	3	0
Gain/Pain Ratio	-0.06	-
Gain/Pain (1M)	-1.0	-
Payoff Ratio	-	-
Profit Factor	0.94	-
Common Sense Ratio	0.97	-
CPC Index	-	-
Tail Ratio	1.03	1.25
Outlier Win Ratio	1.36	45.34
Outlier Loss Ratio	0.97	-
MTD	-1.33%	1.1%
3M	-1.33%	1.1%
6M	-1.33%	1.1%
YTD	-1.33%	1.1%
1Y	-1.33%	1.1%
3Y (ann.)	-19.08%	18.97%
5Y (ann.)	-19.08%	18.97%
10Y (ann.)	-19.08%	18.97%
All-time (ann.)	-19.08%	18.97%
Best Day	6.5%	0.07%
Worst Day	-3.2%	0.0%
Best Month	-1.33%	1.1%
Worst Month	-1.33%	1.1%
Best Year	-1.33%	1.1%
Worst Year	-1.33%	1.1%
Avg. Drawdown	-3.74%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.31	-
Ulcer Index	0.02	0.0
Serenity Index	-0.4	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	37.5%	100.0%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.81	-
Alpha	0.0	-
Correlation	-0.57%	-
Treynor Ratio	1.63%	-