INFL[Strategy] vs RUB Inflation[Benchmark]

20 Dec, 2021 - 25 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	46.61%	36.88%
CAGR﹪	8.51%	6.93%
Sharpe	0.73	18.31
Prob. Sharpe Ratio	96.06%	100.0%
Smart Sharpe	0.73	18.25
Sortino	1.25	81.22
Smart Sortino	1.25	80.94
Sortino/√2	0.88	57.43
Smart Sortino/√2	0.88	57.23
Omega	1.22	1.22
Max Drawdown	-26.1%	-1.25%
Longest DD Days	750	209
Volatility (ann.)	12.38%	0.37%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.33	5.53
Skew	6.55	0.57
Kurtosis	190.61	1.48
Expected Daily	0.03%	0.03%
Expected Monthly	0.69%	0.56%
Expected Yearly	6.58%	5.37%
Kelly Criterion	27.88%	87.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.25%	-0.01%
Expected Shortfall (cVaR)	-1.25%	-0.01%
Max Consecutive Wins	8	742
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.22	18.88
Gain/Pain (1M)	1.11	18.88
Payoff Ratio	1.65	1.57
Profit Factor	1.22	19.88
Common Sense Ratio	1.21	72.26
CPC Index	1.1	28.88
Tail Ratio	0.99	3.64
Outlier Win Ratio	2.73	31.79
Outlier Loss Ratio	2.05	40.77
MTD	1.16%	0.4%
3M	3.84%	1.86%
6M	10.95%	2.87%
YTD	14.17%	5.17%
1Y	19.21%	6.74%
3Y (ann.)	6.76%	8.0%
5Y (ann.)	8.51%	6.93%
10Y (ann.)	8.51%	6.93%
All-time (ann.)	8.51%	6.93%
Best Day	16.44%	0.1%
Worst Day	-9.67%	-0.02%
Best Month	19.35%	1.62%
Worst Month	-7.89%	-0.52%
Best Year	22.34%	9.51%
Worst Year	-11.97%	0.73%
Avg. Drawdown	-0.81%	-0.83%
Avg. Drawdown Days	17	136
Recovery Factor	1.79	29.39
Ulcer Index	0.08	0.0
Serenity Index	0.32	4.8
Avg. Up Month	1.98%	0.61%
Avg. Down Month	-0.76%	-0.52%
Win Days	55.13%	92.55%
Win Month	71.43%	92.86%
Win Quarter	70.0%	95.0%
Win Year	83.33%	100.0%
Beta	1.85	-
Alpha	-0.04	-
Correlation	5.58%	-
Treynor Ratio	25.23%	-