INFL RUB[Strategy] vs [Benchmark] RUGBINFTR RUB

30 Dec, 2021 - 22 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	98.0%
Cumulative Return	42.87%	44.67%
CAGR﹪	8.14%	8.43%
Sharpe	0.15	0.22
Prob. Sharpe Ratio	16.18%	46.32%
Smart Sharpe	0.14	0.2
Sortino	0.25	0.33
Smart Sortino	0.23	0.3
Sortino/√2	0.18	0.23
Smart Sortino/√2	0.17	0.21
Omega	1.04	1.04
Max Drawdown	-26.1%	-25.59%
Longest DD Days	750	748
Volatility (ann.)	12.46%	7.96%
R^2	0.23	0.23
Information Ratio	0.0	0.0
Calmar	0.31	0.33
Skew	6.52	1.6
Kurtosis	188.48	125.12
Expected Daily	0.03%	0.03%
Expected Monthly	0.64%	0.66%
Expected Yearly	6.13%	6.35%
Kelly Criterion	5.42%	9.9%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.26%	-0.79%
Expected Shortfall (cVaR)	-1.26%	-0.79%
Max Consecutive Wins	8	20
Max Consecutive Losses	10	10
Gain/Pain Ratio	0.2	0.34
Gain/Pain (1M)	1.04	1.06
Payoff Ratio	0.92	0.84
Profit Factor	1.2	1.34
Common Sense Ratio	1.19	1.24
CPC Index	0.6	0.66
Tail Ratio	0.99	0.93
Outlier Win Ratio	4.39	7.05
Outlier Loss Ratio	3.27	5.13
MTD	0.45%	0.41%
3M	2.53%	2.59%
6M	11.4%	11.42%
YTD	11.69%	12.35%
1Y	18.42%	18.98%
3Y (ann.)	5.23%	5.43%
5Y (ann.)	8.14%	8.43%
10Y (ann.)	8.14%	8.43%
All-time (ann.)	8.14%	8.43%
Best Day	16.44%	8.49%
Worst Day	-9.67%	-7.64%
Best Month	19.35%	14.55%
Worst Month	-7.89%	-6.63%
Best Year	22.34%	21.07%
Worst Year	-11.97%	-10.95%
Avg. Drawdown	-0.87%	-0.77%
Avg. Drawdown Days	19	20
Recovery Factor	1.64	1.75
Ulcer Index	0.08	0.08
Serenity Index	0.24	0.17
Avg. Up Month	2.12%	1.69%
Avg. Down Month	-2.37%	-2.16%
Win Days	54.77%	58.85%
Win Month	70.37%	67.27%
Win Quarter	68.42%	73.68%
Win Year	80.0%	80.0%
Beta	0.75	-
Alpha	0.02	-
Correlation	47.66%	-
Treynor Ratio	48.07%	-