INFL RUB[Strategy] vs SBSP RUB[Benchmark]

22 Dec, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	-7.46%	-5.78%
CAGR﹪	-35.31%	-28.43%
Sharpe	-1.92	-0.39
Prob. Sharpe Ratio	5.85%	28.03%
Smart Sharpe	-1.42	-0.29
Sortino	-2.03	-0.51
Smart Sortino	-1.5	-0.38
Sortino/√2	-1.43	-0.36
Smart Sortino/√2	-1.06	-0.27
Omega	0.46	0.46
Max Drawdown	-11.03%	-22.08%
Longest DD Days	51	50
Volatility (ann.)	24.52%	58.68%
R^2	0.69	0.69
Information Ratio	-0.04	-0.04
Calmar	-3.2	-1.29
Skew	-5.32	-0.95
Kurtosis	34.67	15.95
Expected Daily	-0.17%	-0.13%
Expected Monthly	-2.55%	-1.97%
Expected Yearly	-3.8%	-2.93%
Kelly Criterion	-83.43%	-8.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.7%	-6.14%
Expected Shortfall (cVaR)	-2.7%	-6.14%
Max Consecutive Wins	3	9
Max Consecutive Losses	4	3
Gain/Pain Ratio	-0.48	-0.07
Gain/Pain (1M)	-0.94	-0.4
Payoff Ratio	0.37	0.66
Profit Factor	0.52	0.93
Common Sense Ratio	0.45	0.72
CPC Index	0.1	0.35
Tail Ratio	0.86	0.77
Outlier Win Ratio	17.49	4.13
Outlier Loss Ratio	12.9	4.18
MTD	-7.89%	-5.99%
3M	-7.46%	-5.78%
6M	-7.46%	-5.78%
YTD	-7.66%	-9.67%
1Y	-7.46%	-5.78%
3Y (ann.)	-35.31%	-28.43%
5Y (ann.)	-35.31%	-28.43%
10Y (ann.)	-35.31%	-28.43%
All-time (ann.)	-35.31%	-28.43%
Best Day	3.06%	14.69%
Worst Day	-9.67%	-17.35%
Best Month	0.26%	4.3%
Worst Month	-7.89%	-5.99%
Best Year	0.21%	4.3%
Worst Year	-7.66%	-9.67%
Avg. Drawdown	-3.76%	-22.08%
Avg. Drawdown Days	19	50
Recovery Factor	-0.68	-0.26
Ulcer Index	0.02	0.06
Serenity Index	-2.34	-0.77
Avg. Up Month	0.21%	4.3%
Avg. Down Month	-7.89%	-5.99%
Win Days	50.0%	56.82%
Win Month	66.67%	33.33%
Win Quarter	50.0%	50.0%
Win Year	50.0%	50.0%
Beta	0.35	-
Alpha	-0.35	-
Correlation	83.29%	-
Treynor Ratio	-41.56%	-