INFL RUB[Strategy] vs [Benchmark] RUGBINFTR RUB

30 Dec, 2021 - 12 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	98.0%
Cumulative Return	12.47%	12.46%
CAGR﹪	3.55%	3.55%
Sharpe	-0.16	-0.31
Prob. Sharpe Ratio	6.38%	10.78%
Smart Sharpe	-0.15	-0.3
Sortino	-0.27	-0.46
Smart Sortino	-0.26	-0.44
Sortino/√2	-0.19	-0.33
Smart Sortino/√2	-0.18	-0.31
Omega	0.96	0.96
Max Drawdown	-26.1%	-25.59%
Longest DD Days	636	636
Volatility (ann.)	14.03%	9.02%
R^2	0.23	0.23
Information Ratio	0.0	0.0
Calmar	0.14	0.14
Skew	6.3	1.57
Kurtosis	160.65	103.49
Expected Daily	0.01%	0.01%
Expected Monthly	0.28%	0.28%
Expected Yearly	2.38%	2.38%
Kelly Criterion	2.02%	0.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.44%	-0.92%
Expected Shortfall (cVaR)	-1.44%	-0.92%
Max Consecutive Wins	8	20
Max Consecutive Losses	10	10
Gain/Pain Ratio	0.1	0.13
Gain/Pain (1M)	0.4	0.36
Payoff Ratio	0.94	0.78
Profit Factor	1.1	1.13
Common Sense Ratio	1.01	0.88
CPC Index	0.54	0.5
Tail Ratio	0.92	0.78
Outlier Win Ratio	4.64	7.51
Outlier Loss Ratio	3.29	4.94
MTD	1.09%	0.48%
3M	6.95%	5.32%
6M	18.08%	17.22%
YTD	7.56%	5.74%
1Y	-2.99%	-3.83%
3Y (ann.)	-0.25%	-0.3%
5Y (ann.)	3.55%	3.55%
10Y (ann.)	3.55%	3.55%
All-time (ann.)	3.55%	3.55%
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	17.01%	17.47%
Worst Year	-11.97%	-10.95%
Avg. Drawdown	-1.03%	-1.11%
Avg. Drawdown Days	21	26
Recovery Factor	0.48	0.49
Ulcer Index	0.09	0.09
Serenity Index	0.03	0.02
Avg. Up Month	2.36%	1.61%
Avg. Down Month	-2.37%	-2.16%
Win Days	52.51%	56.32%
Win Month	60.0%	56.1%
Win Quarter	57.14%	57.14%
Win Year	75.0%	75.0%
Beta	0.75	-
Alpha	0.02	-
Correlation	48.13%	-
Treynor Ratio	7.3%	-