INFL[Strategy] vs RUB Inflation[Benchmark]

20 Dec, 2021 - 12 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	26.36%	27.86%
CAGR﹪	6.47%	6.81%
Sharpe	0.54	17.31
Prob. Sharpe Ratio	86.93%	100.0%
Smart Sharpe	0.53	17.14
Sortino	0.92	67.68
Smart Sortino	0.91	66.99
Sortino/√2	0.65	47.86
Smart Sortino/√2	0.64	47.37
Omega	1.16	1.16
Max Drawdown	-26.1%	-1.25%
Longest DD Days	750	209
Volatility (ann.)	13.6%	0.39%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.25	5.43
Skew	6.24	0.25
Kurtosis	164.82	0.84
Expected Daily	0.03%	0.03%
Expected Monthly	0.52%	0.55%
Expected Yearly	4.79%	5.04%
Kelly Criterion	27.98%	83.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.38%	-0.01%
Expected Shortfall (cVaR)	-1.38%	-0.01%
Max Consecutive Wins	8	742
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.16	13.26
Gain/Pain (1M)	0.71	13.26
Payoff Ratio	1.78	1.67
Profit Factor	1.16	14.26
Common Sense Ratio	1.09	48.3
CPC Index	1.11	21.26
Tail Ratio	0.94	3.39
Outlier Win Ratio	2.81	33.38
Outlier Loss Ratio	1.98	42.02
MTD	2.1%	-0.19%
3M	7.98%	0.1%
6M	9.45%	1.45%
YTD	20.38%	3.75%
1Y	20.88%	7.74%
3Y (ann.)	2.87%	7.53%
5Y (ann.)	6.47%	6.81%
10Y (ann.)	6.47%	6.81%
All-time (ann.)	6.47%	6.81%
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	20.38%	9.51%
Worst Year	-11.97%	0.73%
Avg. Drawdown	-0.97%	-0.92%
Avg. Drawdown Days	22	126
Recovery Factor	1.01	22.21
Ulcer Index	0.09	0.0
Serenity Index	0.16	2.95
Avg. Up Month	2.25%	0.64%
Avg. Down Month	-0.76%	-0.52%
Win Days	53.88%	89.53%
Win Month	64.44%	88.89%
Win Quarter	62.5%	87.5%
Win Year	80.0%	100.0%
Beta	1.98	-
Alpha	-0.06	-
Correlation	5.67%	-
Treynor Ratio	13.32%	-