GROD RUB[Strategy] vs [Benchmark] IRGROTR RUB

1 Jul, 2021 - 27 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	-17.61%	-12.81%
CAGR﹪	-4.0%	-2.85%
Sharpe	-0.32	-0.24
Prob. Sharpe Ratio	0.59%	0.94%
Smart Sharpe	-0.32	-0.23
Sortino	-0.42	-0.29
Smart Sortino	-0.41	-0.29
Sortino/√2	-0.29	-0.21
Smart Sortino/√2	-0.29	-0.21
Omega	0.94	0.94
Max Drawdown	-54.81%	-53.79%
Longest DD Days	1619	1619
Volatility (ann.)	24.36%	25.83%
R^2	0.33	0.33
Information Ratio	-0.0	-0.0
Calmar	-0.07	-0.05
Skew	-1.52	-4.86
Kurtosis	19.43	103.99
Expected Daily	-0.02%	-0.01%
Expected Monthly	-0.34%	-0.24%
Expected Yearly	-3.18%	-2.26%
Kelly Criterion	-0.69%	-5.48%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.53%	-2.67%
Expected Shortfall (cVaR)	-2.53%	-2.67%
Max Consecutive Wins	12	11
Max Consecutive Losses	6	8
Gain/Pain Ratio	-0.01	0.01
Gain/Pain (1M)	-0.03	0.02
Payoff Ratio	0.8	0.76
Profit Factor	0.99	1.01
Common Sense Ratio	0.88	0.86
CPC Index	0.44	0.42
Tail Ratio	0.89	0.85
Outlier Win Ratio	3.78	3.9
Outlier Loss Ratio	3.04	3.48
MTD	-3.54%	-3.16%
3M	-0.73%	0.08%
6M	0.37%	1.88%
YTD	-0.97%	0.07%
1Y	-3.08%	-1.31%
3Y (ann.)	6.2%	7.58%
5Y (ann.)	-4.0%	-2.85%
10Y (ann.)	-4.0%	-2.85%
All-time (ann.)	-4.0%	-2.85%
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	214	171
Recovery Factor	-0.32	-0.24
Ulcer Index	0.29	0.27
Serenity Index	-0.03	-0.03
Avg. Up Month	5.07%	5.13%
Avg. Down Month	-6.41%	-6.35%
Win Days	55.4%	54.36%
Win Month	52.63%	57.89%
Win Quarter	52.63%	52.63%
Win Year	33.33%	50.0%
Beta	0.54	-
Alpha	-0.01	-
Correlation	57.38%	-
Treynor Ratio	-45.47%	-