INGO[Strategy] vs RUB Inflation[Benchmark]

28 Jul, 2021 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	15.22%	18.68%
CAGR﹪	5.34%	6.49%
Sharpe	0.58	17.1
Prob. Sharpe Ratio	80.45%	100.0%
Smart Sharpe	0.43	12.68
Sortino	0.76	66.94
Smart Sortino	0.57	49.64
Sortino/√2	0.54	47.34
Smart Sortino/√2	0.4	35.1
Omega	1.2	1.2
Max Drawdown	-13.61%	-1.25%
Longest DD Days	301	209
Volatility (ann.)	10.16%	0.38%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.39	5.17
Skew	-4.56	0.38
Kurtosis	130.77	1.46
Expected Daily	0.02%	0.03%
Expected Monthly	0.43%	0.52%
Expected Yearly	3.61%	4.38%
Kelly Criterion	-11.51%	83.85%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.03%	-0.01%
Expected Shortfall (cVaR)	-1.03%	-0.01%
Max Consecutive Wins	14	415
Max Consecutive Losses	5	65
Gain/Pain Ratio	0.2	13.57
Gain/Pain (1M)	1.13	13.57
Payoff Ratio	0.66	1.56
Profit Factor	1.2	14.57
Common Sense Ratio	1.21	50.62
CPC Index	0.44	20.45
Tail Ratio	1.01	3.47
Outlier Win Ratio	3.46	27.28
Outlier Loss Ratio	2.41	36.31
MTD	0.26%	0.27%
3M	1.82%	1.76%
6M	3.79%	4.5%
YTD	1.6%	2.22%
1Y	3.43%	7.76%
3Y (ann.)	5.34%	6.49%
5Y (ann.)	5.34%	6.49%
10Y (ann.)	5.34%	6.49%
All-time (ann.)	5.34%	6.49%
Best Day	7.09%	0.1%
Worst Day	-10.42%	-0.02%
Best Month	4.96%	1.56%
Worst Month	-5.9%	-0.52%
Best Year	9.9%	7.42%
Worst Year	-0.64%	2.22%
Avg. Drawdown	-0.76%	-1.25%
Avg. Drawdown Days	14	209
Recovery Factor	1.12	14.89
Ulcer Index	0.02	0.0
Serenity Index	2.15	1.43
Avg. Up Month	1.16%	0.55%
Avg. Down Month	-	-
Win Days	55.86%	90.17%
Win Month	66.67%	90.91%
Win Quarter	75.0%	91.67%
Win Year	75.0%	100.0%
Beta	-0.91	-
Alpha	0.12	-
Correlation	-3.42%	-
Treynor Ratio	-16.71%	-