INFL[Strategy] vs RUB Inflation[Benchmark]

20 Dec, 2021 - 11 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	18.34%	28.44%
CAGR﹪	4.85%	7.28%
Sharpe	0.42	19.41
Prob. Sharpe Ratio	79.92%	100.0%
Smart Sharpe	0.41	19.06
Sortino	0.71	85.16
Smart Sortino	0.7	83.64
Sortino/√2	0.5	60.22
Smart Sortino/√2	0.5	59.14
Omega	1.12	1.12
Max Drawdown	-26.1%	-1.25%
Longest DD Days	696	209
Volatility (ann.)	13.82%	0.37%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.19	5.81
Skew	6.27	0.33
Kurtosis	162.9	1.18
Expected Daily	0.02%	0.03%
Expected Monthly	0.39%	0.58%
Expected Yearly	3.43%	5.13%
Kelly Criterion	29.51%	88.08%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.41%	-0.01%
Expected Shortfall (cVaR)	-1.41%	-0.01%
Max Consecutive Wins	8	728
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.12	19.83
Gain/Pain (1M)	0.53	19.83
Payoff Ratio	1.95	1.67
Profit Factor	1.12	20.83
Common Sense Ratio	1.04	78.53
CPC Index	1.17	32.17
Tail Ratio	0.92	3.77
Outlier Win Ratio	2.85	33.26
Outlier Loss Ratio	1.99	42.03
MTD	1.35%	0.19%
3M	5.98%	1.31%
6M	10.37%	3.9%
YTD	12.74%	4.21%
1Y	11.7%	9.44%
3Y (ann.)	1.28%	7.61%
5Y (ann.)	4.85%	7.28%
10Y (ann.)	4.85%	7.28%
All-time (ann.)	4.85%	7.28%
Best Day	16.44%	0.1%
Worst Day	-9.67%	-0.02%
Best Month	19.35%	1.56%
Worst Month	-7.89%	-0.52%
Best Year	17.01%	9.51%
Worst Year	-11.97%	0.73%
Avg. Drawdown	-1.0%	-1.25%
Avg. Drawdown Days	22	209
Recovery Factor	0.7	22.66
Ulcer Index	0.09	0.0
Serenity Index	0.11	2.83
Avg. Up Month	2.18%	0.63%
Avg. Down Month	-0.76%	-0.52%
Win Days	53.43%	92.55%
Win Month	62.79%	93.02%
Win Quarter	62.5%	93.75%
Win Year	80.0%	100.0%
Beta	2.73	-
Alpha	-0.14	-
Correlation	7.34%	-
Treynor Ratio	6.73%	-