INFL RUB[Strategy] vs SBRS RUB[Benchmark]

27 Dec, 2021 - 11 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	96.0%
Cumulative Return	11.62%	16.96%
CAGR﹪	3.4%	4.88%
Sharpe	0.15	0.31
Prob. Sharpe Ratio	15.98%	30.04%
Smart Sharpe	0.14	0.29
Sortino	0.35	0.48
Smart Sortino	0.33	0.45
Sortino/√2	0.25	0.34
Smart Sortino/√2	0.23	0.32
Omega	1.05	1.05
Max Drawdown	-23.24%	-13.87%
Longest DD Days	722	735
Volatility (ann.)	27.8%	18.08%
R^2	0.13	0.13
Information Ratio	-0.0	-0.0
Calmar	0.15	0.35
Skew	10.75	0.95
Kurtosis	180.91	76.82
Expected Daily	0.03%	0.04%
Expected Monthly	0.55%	0.79%
Expected Yearly	2.22%	3.18%
Kelly Criterion	14.32%	9.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.84%	-1.82%
Expected Shortfall (cVaR)	-2.84%	-1.82%
Max Consecutive Wins	8	6
Max Consecutive Losses	10	7
Gain/Pain Ratio	0.14	0.23
Gain/Pain (1M)	0.51	1.26
Payoff Ratio	1.4	1.27
Profit Factor	1.14	1.23
Common Sense Ratio	1.23	1.49
CPC Index	0.8	0.77
Tail Ratio	1.08	1.22
Outlier Win Ratio	3.85	5.3
Outlier Loss Ratio	2.34	3.4
MTD	0.7%	0.04%
3M	4.4%	4.86%
6M	9.08%	11.9%
YTD	6.65%	4.13%
1Y	-3.0%	4.44%
3Y (ann.)	15.77%	15.11%
5Y (ann.)	3.4%	4.88%
10Y (ann.)	3.4%	4.88%
All-time (ann.)	3.4%	4.88%
Best Day	28.09%	12.35%
Worst Day	-9.67%	-12.19%
Best Month	28.63%	7.85%
Worst Month	-7.89%	-4.32%
Best Year	28.63%	11.59%
Worst Year	-11.97%	-2.54%
Avg. Drawdown	-7.1%	-1.5%
Avg. Drawdown Days	237	44
Recovery Factor	0.5	1.22
Ulcer Index	0.1	0.04
Serenity Index	0.04	0.37
Avg. Up Month	5.54%	2.62%
Avg. Down Month	-4.77%	-2.89%
Win Days	50.0%	49.15%
Win Month	50.0%	65.0%
Win Quarter	55.56%	66.67%
Win Year	60.0%	80.0%
Beta	0.56	-
Alpha	0.04	-
Correlation	36.58%	-
Treynor Ratio	8.22%	-