INFL RUB[Strategy] vs TSOX RUB[Benchmark]

23 Dec, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	99.0%
Cumulative Return	18.87%	-9.81%
CAGR﹪	9.74%	-5.4%
Sharpe	0.35	-0.03
Prob. Sharpe Ratio	27.06%	11.31%
Smart Sharpe	0.32	-0.03
Sortino	0.75	-0.04
Smart Sortino	0.69	-0.04
Sortino/√2	0.53	-0.03
Smart Sortino/√2	0.49	-0.03
Omega	1.21	1.21
Max Drawdown	-11.03%	-55.76%
Longest DD Days	145	539
Volatility (ann.)	18.35%	47.33%
R^2	0.23	0.23
Information Ratio	0.01	0.01
Calmar	0.88	-0.1
Skew	10.87	-3.12
Kurtosis	220.01	29.89
Expected Daily	0.05%	-0.03%
Expected Monthly	0.83%	-0.49%
Expected Yearly	5.93%	-3.38%
Kelly Criterion	16.98%	11.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.85%	-4.88%
Expected Shortfall (cVaR)	-1.85%	-4.88%
Max Consecutive Wins	9	7
Max Consecutive Losses	7	12
Gain/Pain Ratio	0.48	0.02
Gain/Pain (1M)	1.48	0.06
Payoff Ratio	1.19	1.23
Profit Factor	1.48	1.02
Common Sense Ratio	1.47	1.04
CPC Index	0.96	0.64
Tail Ratio	0.99	1.02
Outlier Win Ratio	11.39	1.68
Outlier Loss Ratio	17.16	2.14
MTD	0.29%	-10.15%
3M	-3.9%	-23.48%
6M	-1.34%	13.18%
YTD	1.43%	43.51%
1Y	2.58%	79.43%
3Y (ann.)	9.74%	-5.4%
5Y (ann.)	9.74%	-5.4%
10Y (ann.)	9.74%	-5.4%
All-time (ann.)	9.74%	-5.4%
Best Day	19.32%	7.04%
Worst Day	-9.67%	-30.74%
Best Month	20.11%	34.23%
Worst Month	-7.89%	-32.45%
Best Year	17.01%	43.51%
Worst Year	0.16%	-38.81%
Avg. Drawdown	-0.65%	-10.34%
Avg. Drawdown Days	13	65
Recovery Factor	1.71	-0.18
Ulcer Index	0.01	0.33
Serenity Index	3.79	-0.03
Avg. Up Month	0.97%	12.02%
Avg. Down Month	-1.15%	-8.77%
Win Days	54.97%	50.94%
Win Month	71.43%	61.9%
Win Quarter	66.67%	66.67%
Win Year	100.0%	66.67%
Beta	-0.19	-
Alpha	0.14	-
Correlation	-48.03%	-
Treynor Ratio	-63.73%	-