INFL RUB[Strategy] vs AKSF RUB[Benchmark]

25 Jan, 2022 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	92.0%
Cumulative Return	-7.13%	0.9%
CAGR﹪	-58.14%	11.11%
Sharpe	-2.38	0.24
Prob. Sharpe Ratio	9.5%	43.5%
Smart Sharpe	-1.74	0.18
Sortino	-2.53	0.4
Smart Sortino	-1.85	0.29
Sortino/√2	-1.79	0.28
Smart Sortino/√2	-1.31	0.21
Omega	0.43	0.43
Max Drawdown	-10.63%	-5.98%
Longest DD Days	24	29
Volatility (ann.)	34.34%	21.18%
R^2	0.04	0.04
Information Ratio	-0.12	-0.12
Calmar	-5.47	1.86
Skew	-3.85	0.65
Kurtosis	17.91	1.18
Expected Daily	-0.32%	0.04%
Expected Monthly	-3.63%	0.45%
Expected Yearly	-7.13%	0.9%
Kelly Criterion	45.41%	14.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.86%	-2.15%
Expected Shortfall (cVaR)	-3.86%	-2.15%
Max Consecutive Wins	3	3
Max Consecutive Losses	4	5
Gain/Pain Ratio	-0.54	0.11
Gain/Pain (1M)	-0.89	0.53
Payoff Ratio	10.9	1.99
Profit Factor	0.46	1.11
Common Sense Ratio	0.46	1.19
CPC Index	2.5	0.95
Tail Ratio	0.99	1.07
Outlier Win Ratio	5.87	2.83
Outlier Loss Ratio	4.37	6.05
MTD	-7.89%	3.01%
3M	-7.13%	0.9%
6M	-7.13%	0.9%
YTD	-7.13%	0.9%
1Y	-7.13%	0.9%
3Y (ann.)	-58.14%	11.11%
5Y (ann.)	-58.14%	11.11%
10Y (ann.)	-58.14%	11.11%
All-time (ann.)	-58.14%	11.11%
Best Day	3.06%	3.42%
Worst Day	-9.67%	-2.42%
Best Month	0.83%	3.01%
Worst Month	-7.89%	-2.05%
Best Year	-7.13%	0.9%
Worst Year	-7.13%	0.9%
Avg. Drawdown	-5.48%	-5.98%
Avg. Drawdown Days	13	29
Recovery Factor	-0.67	0.15
Ulcer Index	0.03	0.04
Serenity Index	-1.98	-0.27
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	50.0%	42.86%
Win Month	50.0%	50.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.34	-
Alpha	-0.71	-
Correlation	-21.03%	-
Treynor Ratio	41.44%	-