GPBR[Strategy] vs RUB Inflation[Benchmark]

2 Feb, 2022 - 24 Jan, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	100.0%
Cumulative Return	12.15%	11.5%
CAGR﹪	5.98%	5.67%
Sharpe	0.63	14.78
Prob. Sharpe Ratio	80.74%	100.0%
Smart Sharpe	0.5	11.79
Sortino	0.93	50.12
Smart Sortino	0.74	39.97
Sortino/√2	0.66	35.44
Smart Sortino/√2	0.52	28.26
Omega	1.15	1.15
Max Drawdown	-8.14%	-1.25%
Longest DD Days	200	209
Volatility (ann.)	10.46%	0.39%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.73	4.52
Skew	0.13	0.04
Kurtosis	9.68	-0.3
Expected Daily	0.02%	0.02%
Expected Monthly	0.5%	0.47%
Expected Yearly	3.9%	3.7%
Kelly Criterion	-22.57%	77.07%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.06%	-0.02%
Expected Shortfall (cVaR)	-1.06%	-0.02%
Max Consecutive Wins	7	356
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.15	8.62
Gain/Pain (1M)	1.07	8.62
Payoff Ratio	0.65	1.47
Profit Factor	1.15	9.62
Common Sense Ratio	1.19	35.41
CPC Index	0.39	12.23
Tail Ratio	1.04	3.68
Outlier Win Ratio	3.6	43.82
Outlier Loss Ratio	2.5	52.88
MTD	-1.23%	0.86%
3M	0.09%	2.96%
6M	-1.14%	4.96%
YTD	-1.23%	0.86%
1Y	1.26%	7.7%
3Y (ann.)	5.98%	5.67%
5Y (ann.)	5.98%	5.67%
10Y (ann.)	5.98%	5.67%
All-time (ann.)	5.98%	5.67%
Best Day	3.63%	0.07%
Worst Day	-3.56%	-0.02%
Best Month	5.61%	1.56%
Worst Month	-3.98%	-0.52%
Best Year	11.25%	7.42%
Worst Year	-1.23%	0.86%
Avg. Drawdown	-1.33%	-1.25%
Avg. Drawdown Days	21	209
Recovery Factor	1.49	9.17
Ulcer Index	0.02	0.0
Serenity Index	1.42	0.64
Avg. Up Month	1.24%	0.57%
Avg. Down Month	-1.26%	-0.52%
Win Days	51.76%	86.34%
Win Month	65.22%	86.96%
Win Quarter	66.67%	88.89%
Win Year	66.67%	100.0%
Beta	-1.18	-
Alpha	0.13	-
Correlation	-4.38%	-
Treynor Ratio	-10.32%	-