GPBM[Strategy] vs RUB Inflation[Benchmark]

23 Jul, 2019 - 23 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	80.0%	100.0%
Cumulative Return	22.62%	30.5%
CAGR﹪	4.38%	5.76%
Sharpe	0.6	16.75
Prob. Sharpe Ratio	82.08%	100.0%
Smart Sharpe	0.45	12.6
Sortino	0.84	63.68
Smart Sortino	0.63	47.88
Sortino/√2	0.59	45.03
Smart Sortino/√2	0.44	33.86
Omega	1.16	1.16
Max Drawdown	-16.05%	-1.25%
Longest DD Days	529	204
Volatility (ann.)	15.77%	0.64%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.27	4.59
Skew	-1.34	0.53
Kurtosis	28.18	1.88
Expected Daily	0.03%	0.04%
Expected Monthly	0.36%	0.47%
Expected Yearly	3.46%	4.54%
Kelly Criterion	1.52%	83.13%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.6%	-0.02%
Expected Shortfall (cVaR)	-1.6%	-0.02%
Max Consecutive Wins	8	305
Max Consecutive Losses	6	35
Gain/Pain Ratio	0.16	15.02
Gain/Pain (1M)	0.79	15.02
Payoff Ratio	0.83	2.6
Profit Factor	1.16	16.02
Common Sense Ratio	1.35	60.67
CPC Index	0.54	36.57
Tail Ratio	1.16	3.79
Outlier Win Ratio	3.82	30.48
Outlier Loss Ratio	2.51	68.67
MTD	-0.32%	0.39%
3M	-0.32%	1.61%
6M	2.15%	4.66%
YTD	-0.16%	2.34%
1Y	-2.06%	7.71%
3Y (ann.)	2.05%	6.46%
5Y (ann.)	4.38%	5.76%
10Y (ann.)	4.38%	5.76%
All-time (ann.)	4.38%	5.76%
Best Day	6.29%	0.21%
Worst Day	-10.58%	-0.08%
Best Month	5.59%	1.56%
Worst Month	-7.06%	-0.52%
Best Year	9.58%	8.39%
Worst Year	-2.12%	0.37%
Avg. Drawdown	-1.77%	-0.59%
Avg. Drawdown Days	41	130
Recovery Factor	1.41	24.31
Ulcer Index	0.03	0.0
Serenity Index	1.03	10.21
Avg. Up Month	1.38%	0.53%
Avg. Down Month	-0.1%	-0.24%
Win Days	55.22%	87.82%
Win Month	63.64%	87.5%
Win Quarter	60.0%	90.0%
Win Year	50.0%	100.0%
Beta	-1.46	-
Alpha	0.25	-
Correlation	-5.92%	-
Treynor Ratio	-15.53%	-