INFL[Strategy] vs RUB Inflation[Benchmark]

20 Dec, 2021 - 15 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	25.32%	27.3%
CAGR﹪	6.08%	6.52%
Sharpe	0.51	16.12
Prob. Sharpe Ratio	86.08%	100.0%
Smart Sharpe	0.51	15.98
Sortino	0.88	59.17
Smart Sortino	0.87	58.64
Sortino/√2	0.62	41.84
Smart Sortino/√2	0.61	41.47
Omega	1.15	1.15
Max Drawdown	-26.1%	-1.25%
Longest DD Days	750	209
Volatility (ann.)	13.46%	0.4%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.23	5.2
Skew	6.29	0.21
Kurtosis	167.72	0.64
Expected Daily	0.02%	0.03%
Expected Monthly	0.49%	0.53%
Expected Yearly	4.62%	4.95%
Kelly Criterion	25.51%	79.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.37%	-0.02%
Expected Shortfall (cVaR)	-1.37%	-0.02%
Max Consecutive Wins	8	742
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.15	10.53
Gain/Pain (1M)	0.68	10.53
Payoff Ratio	1.63	1.68
Profit Factor	1.15	11.53
Common Sense Ratio	1.13	39.06
CPC Index	1.01	16.88
Tail Ratio	0.98	3.39
Outlier Win Ratio	2.83	33.32
Outlier Loss Ratio	1.99	42.01
MTD	-0.24%	-0.21%
3M	5.4%	-0.71%
6M	12.89%	0.39%
YTD	19.39%	3.3%
1Y	24.38%	6.61%
3Y (ann.)	2.77%	7.27%
5Y (ann.)	6.08%	6.52%
10Y (ann.)	6.08%	6.52%
All-time (ann.)	6.08%	6.52%
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	19.39%	9.51%
Worst Year	-11.97%	0.73%
Avg. Drawdown	-0.99%	-1.14%
Avg. Drawdown Days	22	142
Recovery Factor	0.97	21.76
Ulcer Index	0.09	0.0
Serenity Index	0.16	2.66
Avg. Up Month	2.25%	0.64%
Avg. Down Month	-0.5%	-0.36%
Win Days	53.85%	87.34%
Win Month	63.04%	86.96%
Win Quarter	58.82%	82.35%
Win Year	80.0%	100.0%
Beta	1.93	-
Alpha	-0.06	-
Correlation	5.76%	-
Treynor Ratio	13.09%	-