GROD RUB[Strategy] vs [Benchmark] IRGROTR RUB

1 Jul, 2021 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	-2.48%	1.19%
CAGR﹪	-0.89%	0.42%
Sharpe	-7.8	-7.09
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-7.8	-7.08
Sortino	-7.57	-6.97
Smart Sortino	-7.56	-6.96
Sortino/√2	-5.35	-4.93
Smart Sortino/√2	-5.35	-4.92
Omega	0.2	0.2
Max Drawdown	-54.81%	-53.79%
Longest DD Days	917	917
Volatility (ann.)	26.43%	28.77%
R^2	0.22	0.22
Information Ratio	-0.01	-0.01
Calmar	-0.02	0.01
Skew	-2.05	-6.13
Kurtosis	23.34	115.59
Expected Daily	-0.0%	0.0%
Expected Monthly	-0.07%	0.03%
Expected Yearly	-0.63%	0.3%
Kelly Criterion	1.86%	-5.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.73%	-2.96%
Expected Shortfall (cVaR)	-2.73%	-2.96%
Max Consecutive Wins	10	11
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.02	0.04
Gain/Pain (1M)	0.08	0.16
Payoff Ratio	0.78	0.67
Profit Factor	1.02	1.04
Common Sense Ratio	0.83	0.89
CPC Index	0.45	0.4
Tail Ratio	0.81	0.86
Outlier Win Ratio	3.71	4.07
Outlier Loss Ratio	3.63	4.19
MTD	4.99%	4.89%
3M	10.51%	10.28%
6M	9.51%	9.47%
YTD	17.21%	17.32%
1Y	43.37%	45.81%
3Y (ann.)	-0.89%	0.42%
5Y (ann.)	-0.89%	0.42%
10Y (ann.)	-0.89%	0.42%
All-time (ann.)	-0.89%	0.42%
Best Day	10.89%	14.95%
Worst Day	-16.81%	-29.96%
Best Month	15.49%	17.2%
Worst Month	-26.79%	-25.87%
Best Year	42.49%	45.7%
Worst Year	-41.49%	-40.77%
Avg. Drawdown	-8.48%	-6.92%
Avg. Drawdown Days	126	101
Recovery Factor	-0.05	0.02
Ulcer Index	0.31	0.3
Serenity Index	-0.71	-0.8
Avg. Up Month	4.9%	5.07%
Avg. Down Month	-7.32%	-7.38%
Win Days	57.04%	57.37%
Win Month	58.82%	64.71%
Win Quarter	58.33%	58.33%
Win Year	50.0%	50.0%
Beta	0.43	-
Alpha	0.01	-
Correlation	46.86%	-
Treynor Ratio	-1631.81%	-