INEM RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

29 Jul, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	-0.04%	13.46%
CAGR﹪	-0.07%	24.42%
Sharpe	0.08	1.91
Prob. Sharpe Ratio	51.91%	89.88%
Smart Sharpe	0.07	1.53
Sortino	0.14	4.16
Smart Sortino	0.11	3.32
Sortino/√2	0.1	2.94
Smart Sortino/√2	0.08	2.35
Omega	1.02	1.02
Max Drawdown	-8.48%	-6.37%
Longest DD Days	147	84
Volatility (ann.)	17.94%	20.15%
R^2	0.63	0.63
Information Ratio	-0.19	-0.19
Calmar	-0.01	3.83
Skew	1.72	2.1
Kurtosis	8.46	7.33
Expected Daily	-0.0%	0.15%
Expected Monthly	-0.0%	1.59%
Expected Yearly	-0.02%	6.52%
Kelly Criterion	4.27%	15.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.85%	-1.93%
Expected Shortfall (cVaR)	-1.85%	-1.93%
Max Consecutive Wins	7	3
Max Consecutive Losses	11	5
Gain/Pain Ratio	0.02	0.47
Gain/Pain (1M)	0.08	3.41
Payoff Ratio	1.27	1.7
Profit Factor	1.02	1.47
Common Sense Ratio	0.86	2.53
CPC Index	0.6	1.16
Tail Ratio	0.85	1.72
Outlier Win Ratio	6.46	4.82
Outlier Loss Ratio	3.18	3.43
MTD	-0.56%	7.35%
3M	0.9%	10.68%
6M	-1.23%	11.86%
YTD	1.34%	12.59%
1Y	-0.04%	13.46%
3Y (ann.)	-0.07%	24.42%
5Y (ann.)	-0.07%	24.42%
10Y (ann.)	-0.07%	24.42%
All-time (ann.)	-0.07%	24.42%
Best Day	5.6%	5.93%
Worst Day	-3.13%	-2.38%
Best Month	2.22%	7.35%
Worst Month	-3.41%	-2.59%
Best Year	1.34%	12.59%
Worst Year	-1.36%	0.77%
Avg. Drawdown	-3.13%	-1.77%
Avg. Drawdown Days	38	18
Recovery Factor	-0.0	2.11
Ulcer Index	0.04	0.03
Serenity Index	-0.0	1.43
Avg. Up Month	1.37%	2.43%
Avg. Down Month	-2.93%	-1.74%
Win Days	46.51%	46.51%
Win Month	62.5%	62.5%
Win Quarter	66.67%	66.67%
Win Year	50.0%	100.0%
Beta	0.7	-
Alpha	-0.26	-
Correlation	79.13%	-
Treynor Ratio	-0.05%	-