INRU RUB[Strategy] vs [Benchmark] MCFTR RUB

7 Jun, 2022 - 18 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	30.0%	100.0%
Cumulative Return	58.47%	47.09%
CAGR﹪	11.34%	9.42%
Sharpe	0.35	0.21
Prob. Sharpe Ratio	28.38%	10.89%
Smart Sharpe	0.34	0.21
Sortino	0.49	0.29
Smart Sortino	0.49	0.29
Sortino/√2	0.35	0.2
Smart Sortino/√2	0.35	0.2
Omega	1.12	1.12
Max Drawdown	-27.6%	-34.23%
Longest DD Days	1108	569
Volatility (ann.)	13.94%	21.92%
R^2	0.15	0.15
Information Ratio	0.0	0.0
Calmar	0.41	0.28
Skew	0.13	-0.26
Kurtosis	61.32	5.45
Expected Daily	0.04%	0.04%
Expected Monthly	0.89%	0.74%
Expected Yearly	9.64%	8.02%
Kelly Criterion	13.41%	5.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.4%	-2.23%
Expected Shortfall (cVaR)	-1.4%	-2.23%
Max Consecutive Wins	8	9
Max Consecutive Losses	7	14
Gain/Pain Ratio	0.35	0.1
Gain/Pain (1M)	2.18	0.49
Payoff Ratio	0.96	0.95
Profit Factor	1.35	1.1
Common Sense Ratio	2.0	1.09
CPC Index	0.75	0.56
Tail Ratio	1.48	1.0
Outlier Win Ratio	14.67	3.21
Outlier Loss Ratio	2.95	3.05
MTD	0.0%	4.55%
3M	0.0%	-4.29%
6M	0.0%	-15.31%
YTD	0.0%	-11.19%
1Y	0.0%	-11.9%
3Y (ann.)	0.0%	-3.5%
5Y (ann.)	11.34%	9.42%
10Y (ann.)	11.34%	9.42%
All-time (ann.)	11.34%	9.42%
Best Day	12.32%	9.2%
Worst Day	-9.58%	-8.84%
Best Month	14.68%	15.56%
Worst Month	-17.51%	-18.23%
Best Year	54.57%	53.84%
Worst Year	0.0%	-11.19%
Avg. Drawdown	-2.75%	-3.79%
Avg. Drawdown Days	53	36
Recovery Factor	2.12	1.38
Ulcer Index	0.05	0.12
Serenity Index	1.19	0.21
Avg. Up Month	5.25%	5.54%
Avg. Down Month	-7.55%	-8.29%
Win Days	57.49%	54.08%
Win Month	82.35%	57.69%
Win Quarter	71.43%	61.11%
Win Year	100.0%	80.0%
Beta	0.24	-
Alpha	0.09	-
Correlation	38.17%	-
Treynor Ratio	211.97%	-