INGO RUB[Strategy] vs [Benchmark] RUCBTR2A3A3Y RUB

9 Feb, 2023 - 26 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	91.0%	98.0%
Cumulative Return	5.12%	4.49%
CAGR﹪	4.21%	3.7%
Sharpe	-61.47	-106.54
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-49.98	-86.63
Sortino	-15.37	-15.7
Smart Sortino	-12.5	-12.77
Sortino/√2	-10.87	-11.1
Smart Sortino/√2	-8.84	-9.03
Omega	0.0	0.0
Max Drawdown	-3.19%	-3.37%
Longest DD Days	170	208
Volatility (ann.)	3.33%	1.93%
R^2	0.17	0.17
Information Ratio	0.01	0.01
Calmar	1.32	1.1
Skew	-0.17	-0.83
Kurtosis	0.53	12.97
Expected Daily	0.02%	0.01%
Expected Monthly	0.33%	0.29%
Expected Yearly	2.53%	2.22%
Kelly Criterion	7.96%	12.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.33%	-0.19%
Expected Shortfall (cVaR)	-0.33%	-0.19%
Max Consecutive Wins	5	13
Max Consecutive Losses	5	9
Gain/Pain Ratio	0.23	0.45
Gain/Pain (1M)	1.82	1.44
Payoff Ratio	0.9	0.88
Profit Factor	1.23	1.45
Common Sense Ratio	1.26	2.09
CPC Index	0.62	0.76
Tail Ratio	1.03	1.44
Outlier Win Ratio	2.8	5.34
Outlier Loss Ratio	2.42	5.52
MTD	0.51%	0.49%
3M	2.08%	1.47%
6M	4.24%	3.99%
YTD	1.86%	1.71%
1Y	3.69%	2.8%
3Y (ann.)	4.21%	3.7%
5Y (ann.)	4.21%	3.7%
10Y (ann.)	4.21%	3.7%
All-time (ann.)	4.21%	3.7%
Best Day	0.62%	0.66%
Worst Day	-0.61%	-0.83%
Best Month	1.67%	1.31%
Worst Month	-1.44%	-1.58%
Best Year	3.21%	2.74%
Worst Year	1.86%	1.71%
Avg. Drawdown	-0.33%	-0.18%
Avg. Drawdown Days	10	11
Recovery Factor	1.6	1.33
Ulcer Index	0.01	0.01
Serenity Index	-56.29	-28.31
Avg. Up Month	0.71%	0.65%
Avg. Down Month	-0.91%	-1.02%
Win Days	56.47%	59.2%
Win Month	73.33%	80.0%
Win Quarter	83.33%	83.33%
Win Year	100.0%	100.0%
Beta	0.71	-
Alpha	0.02	-
Correlation	41.0%	-
Treynor Ratio	-980.38%	-