INGO RUB[Strategy] vs [Benchmark] RUCBTR2A3A3Y RUB

9 Feb, 2023 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	98.0%
Cumulative Return	44.81%	46.4%
CAGR﹪	11.8%	12.16%
Sharpe	1.03	1.7
Prob. Sharpe Ratio	99.79%	100.0%
Smart Sharpe	0.88	1.46
Sortino	1.59	3.05
Smart Sortino	1.37	2.63
Sortino/√2	1.13	2.16
Smart Sortino/√2	0.97	1.86
Omega	1.19	1.19
Max Drawdown	-3.19%	-3.95%
Longest DD Days	170	225
Volatility (ann.)	4.26%	2.74%
R^2	0.22	0.22
Information Ratio	-0.0	-0.0
Calmar	3.69	3.08
Skew	0.62	2.94
Kurtosis	5.11	37.07
Expected Daily	0.04%	0.05%
Expected Monthly	0.91%	0.93%
Expected Yearly	9.7%	10.0%
Kelly Criterion	17.92%	37.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.4%	-0.24%
Expected Shortfall (cVaR)	-0.4%	-0.24%
Max Consecutive Wins	7	23
Max Consecutive Losses	7	12
Gain/Pain Ratio	0.57	1.4
Gain/Pain (1M)	5.88	5.32
Payoff Ratio	1.04	1.25
Profit Factor	1.57	2.4
Common Sense Ratio	2.05	3.54
CPC Index	0.95	1.97
Tail Ratio	1.31	1.47
Outlier Win Ratio	2.98	5.09
Outlier Loss Ratio	2.32	4.86
MTD	0.4%	0.24%
3M	4.6%	4.92%
6M	8.44%	8.91%
YTD	7.08%	7.76%
1Y	20.01%	21.3%
3Y (ann.)	12.31%	12.66%
5Y (ann.)	11.8%	12.16%
10Y (ann.)	11.8%	12.16%
All-time (ann.)	11.8%	12.16%
Best Day	1.99%	2.26%
Worst Day	-0.98%	-0.84%
Best Month	5.42%	5.73%
Worst Month	-1.73%	-2.28%
Best Year	23.82%	26.1%
Worst Year	3.21%	2.74%
Avg. Drawdown	-0.33%	-0.22%
Avg. Drawdown Days	8	11
Recovery Factor	14.04	11.76
Ulcer Index	0.01	0.01
Serenity Index	5.75	3.19
Avg. Up Month	1.36%	1.42%
Avg. Down Month	-1.04%	-1.11%
Win Days	58.22%	65.37%
Win Month	80.49%	82.5%
Win Quarter	85.71%	85.71%
Win Year	100.0%	100.0%
Beta	0.72	-
Alpha	0.03	-
Correlation	46.6%	-
Treynor Ratio	52.28%	-