GPBS[Strategy] vs RUB Inflation[Benchmark]

31 Jul, 2019 - 26 Jun, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	81.0%	100.0%
Cumulative Return	29.35%	32.66%
CAGR﹪	5.38%	5.93%
Sharpe	0.46	17.97
Prob. Sharpe Ratio	78.12%	100.0%
Smart Sharpe	0.27	10.53
Sortino	0.78	65.29
Smart Sortino	0.46	38.27
Sortino/√2	0.55	46.17
Smart Sortino/√2	0.32	27.06
Omega	1.28	1.28
Max Drawdown	-33.13%	-1.25%
Longest DD Days	183	211
Volatility (ann.)	38.28%	0.66%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.16	4.72
Skew	7.06	0.43
Kurtosis	255.24	2.47
Expected Daily	0.04%	0.05%
Expected Monthly	0.44%	0.49%
Expected Yearly	4.38%	4.82%
Kelly Criterion	28.03%	83.46%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.9%	-0.02%
Expected Shortfall (cVaR)	-3.9%	-0.02%
Max Consecutive Wins	5	301
Max Consecutive Losses	4	30
Gain/Pain Ratio	0.28	17.53
Gain/Pain (1M)	2.37	17.53
Payoff Ratio	1.47	1.58
Profit Factor	1.28	18.53
Common Sense Ratio	1.54	76.04
CPC Index	1.08	26.32
Tail Ratio	1.2	4.1
Outlier Win Ratio	2.62	22.97
Outlier Loss Ratio	1.43	38.97
MTD	-0.91%	0.64%
3M	-1.07%	1.99%
6M	1.25%	4.15%
YTD	2.36%	3.87%
1Y	-1.37%	8.58%
3Y (ann.)	4.54%	6.58%
5Y (ann.)	5.38%	5.93%
10Y (ann.)	5.38%	5.93%
All-time (ann.)	5.38%	5.93%
Best Day	45.25%	0.21%
Worst Day	-31.79%	-0.08%
Best Month	4.86%	1.56%
Worst Month	-5.24%	-0.52%
Best Year	9.49%	8.39%
Worst Year	0.47%	0.53%
Avg. Drawdown	-1.52%	-0.53%
Avg. Drawdown Days	23	124
Recovery Factor	0.89	26.03
Ulcer Index	0.02	0.0
Serenity Index	8.13	12.86
Avg. Up Month	1.17%	0.51%
Avg. Down Month	-	-
Win Days	57.14%	89.87%
Win Month	64.91%	89.47%
Win Quarter	75.0%	90.0%
Win Year	100.0%	100.0%
Beta	0.38	-
Alpha	0.13	-
Correlation	0.65%	-
Treynor Ratio	77.63%	-