INFL RUB[Strategy] vs RQIU RUB[Benchmark]

11 Jan, 2022 - 5 Dec, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	97.0%
Cumulative Return	17.5%	14.92%
CAGR﹪	8.86%	7.6%
Sharpe	0.28	0.29
Prob. Sharpe Ratio	22.42%	22.21%
Smart Sharpe	0.27	0.28
Sortino	0.65	0.36
Smart Sortino	0.62	0.35
Sortino/√2	0.46	0.26
Smart Sortino/√2	0.44	0.24
Omega	1.18	1.18
Max Drawdown	-10.66%	-45.06%
Longest DD Days	130	507
Volatility (ann.)	19.38%	43.01%
R^2	0.38	0.38
Information Ratio	-0.01	-0.01
Calmar	0.83	0.17
Skew	12.19	-4.61
Kurtosis	242.95	58.63
Expected Daily	0.04%	0.04%
Expected Monthly	0.74%	0.63%
Expected Yearly	8.4%	7.2%
Kelly Criterion	3.71%	3.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.96%	-4.38%
Expected Shortfall (cVaR)	-1.96%	-4.38%
Max Consecutive Wins	7	6
Max Consecutive Losses	7	7
Gain/Pain Ratio	0.44	0.1
Gain/Pain (1M)	1.39	0.46
Payoff Ratio	0.9	0.91
Profit Factor	1.44	1.1
Common Sense Ratio	1.42	1.34
CPC Index	0.7	0.54
Tail Ratio	0.98	1.22
Outlier Win Ratio	11.27	2.12
Outlier Loss Ratio	12.32	1.83
MTD	-0.25%	-3.36%
3M	-3.27%	0.85%
6M	-2.94%	12.7%
YTD	0.68%	44.42%
1Y	1.99%	58.1%
3Y (ann.)	8.86%	7.6%
5Y (ann.)	8.86%	7.6%
10Y (ann.)	8.86%	7.6%
All-time (ann.)	8.86%	7.6%
Best Day	21.14%	9.89%
Worst Day	-9.67%	-33.14%
Best Month	20.11%	18.32%
Worst Month	-7.89%	-28.25%
Best Year	16.7%	44.42%
Worst Year	0.68%	-20.42%
Avg. Drawdown	-0.68%	-7.32%
Avg. Drawdown Days	14	68
Recovery Factor	1.64	0.33
Ulcer Index	0.02	0.25
Serenity Index	2.76	0.02
Avg. Up Month	0.94%	8.49%
Avg. Down Month	-0.57%	-2.99%
Win Days	54.45%	53.76%
Win Month	59.09%	68.18%
Win Quarter	62.5%	87.5%
Win Year	100.0%	50.0%
Beta	-0.28	-
Alpha	0.18	-
Correlation	-61.47%	-
Treynor Ratio	-37.91%	-