GROD RUB[Strategy] vs [Benchmark] IRGROTR RUB

1 Jul, 2021 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	-18.26%	-12.89%
CAGR﹪	-4.43%	-3.05%
Sharpe	-0.33	-0.23
Prob. Sharpe Ratio	0.69%	1.13%
Smart Sharpe	-0.32	-0.23
Sortino	-0.42	-0.29
Smart Sortino	-0.42	-0.28
Sortino/√2	-0.3	-0.2
Smart Sortino/√2	-0.29	-0.2
Omega	0.94	0.94
Max Drawdown	-54.81%	-53.79%
Longest DD Days	1514	1514
Volatility (ann.)	24.98%	26.54%
R^2	0.33	0.33
Information Ratio	-0.01	-0.01
Calmar	-0.08	-0.06
Skew	-1.49	-4.76
Kurtosis	18.57	98.99
Expected Daily	-0.02%	-0.01%
Expected Monthly	-0.37%	-0.26%
Expected Yearly	-3.95%	-2.72%
Kelly Criterion	-0.64%	-5.56%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.59%	-2.75%
Expected Shortfall (cVaR)	-2.59%	-2.75%
Max Consecutive Wins	12	11
Max Consecutive Losses	6	8
Gain/Pain Ratio	-0.01	0.01
Gain/Pain (1M)	-0.04	0.02
Payoff Ratio	0.79	0.76
Profit Factor	0.99	1.01
Common Sense Ratio	0.89	0.85
CPC Index	0.43	0.41
Tail Ratio	0.9	0.84
Outlier Win Ratio	3.81	3.92
Outlier Loss Ratio	2.99	3.42
MTD	1.12%	2.96%
3M	-5.43%	-3.47%
6M	6.57%	8.87%
YTD	1.12%	4.29%
1Y	15.46%	18.97%
3Y (ann.)	11.46%	13.59%
5Y (ann.)	-4.43%	-3.05%
10Y (ann.)	-4.43%	-3.05%
All-time (ann.)	-4.43%	-3.05%
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	200	160
Recovery Factor	-0.33	-0.24
Ulcer Index	0.29	0.28
Serenity Index	-0.03	-0.03
Avg. Up Month	5.07%	5.21%
Avg. Down Month	-6.53%	-6.49%
Win Days	55.64%	54.55%
Win Month	53.7%	57.41%
Win Quarter	55.56%	50.0%
Win Year	40.0%	40.0%
Beta	0.54	-
Alpha	-0.02	-
Correlation	57.25%	-
Treynor Ratio	-46.9%	-