INEM RUB[Strategy] vs MCFTR RUB[Benchmark]

28 Jul, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	99.0%
Cumulative Return	-0.04%	-33.19%
CAGR﹪	-0.07%	-50.06%
Sharpe	-11.62	-5.82
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-9.28	-4.64
Sortino	-10.7	-5.69
Smart Sortino	-8.55	-4.54
Sortino/√2	-7.57	-4.02
Smart Sortino/√2	-6.04	-3.21
Omega	0.15	0.15
Max Drawdown	-8.48%	-41.34%
Longest DD Days	147	127
Volatility (ann.)	17.84%	53.09%
R^2	0.31	0.31
Information Ratio	0.1	0.1
Calmar	-0.01	-1.21
Skew	1.73	-3.48
Kurtosis	8.59	17.59
Expected Daily	-0.0%	-0.46%
Expected Monthly	-0.01%	-4.92%
Expected Yearly	-0.02%	-18.26%
Kelly Criterion	-110.22%	3.48%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.84%	-5.9%
Expected Shortfall (cVaR)	-1.84%	-5.9%
Max Consecutive Wins	7	5
Max Consecutive Losses	11	3
Gain/Pain Ratio	0.02	-0.37
Gain/Pain (1M)	0.08	-0.77
Payoff Ratio	0.35	0.87
Profit Factor	1.02	0.63
Common Sense Ratio	0.86	0.37
CPC Index	0.16	0.3
Tail Ratio	0.85	0.59
Outlier Win Ratio	6.27	3.94
Outlier Loss Ratio	14.11	3.81
MTD	-0.56%	-30.02%
3M	0.9%	-36.5%
6M	-1.23%	-34.43%
YTD	1.34%	-34.18%
1Y	-0.04%	-33.19%
3Y (ann.)	-0.07%	-50.06%
5Y (ann.)	-0.07%	-50.06%
10Y (ann.)	-0.07%	-50.06%
All-time (ann.)	-0.07%	-50.06%
Best Day	5.6%	7.05%
Worst Day	-3.13%	-19.91%
Best Month	2.22%	4.16%
Worst Month	-3.41%	-30.02%
Best Year	1.34%	1.51%
Worst Year	-1.37%	-34.18%
Avg. Drawdown	-2.61%	-5.43%
Avg. Drawdown Days	32	20
Recovery Factor	-0.0	-0.8
Ulcer Index	0.04	0.1
Serenity Index	-31.09	-12.29
Avg. Up Month	1.34%	4.16%
Avg. Down Month	-0.56%	-30.02%
Win Days	45.98%	55.17%
Win Month	62.5%	37.5%
Win Quarter	66.67%	33.33%
Win Year	50.0%	50.0%
Beta	-0.19	-
Alpha	-0.17	-
Correlation	-55.38%	-
Treynor Ratio	3761.11%	-