INRU RUB[Strategy] vs [Benchmark] MCFTR RUB

7 Jun, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	68.0%	100.0%
Cumulative Return	58.47%	77.05%
CAGR﹪	27.66%	35.4%
Sharpe	-8.69	-9.18
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-8.58	-9.07
Sortino	-8.55	-8.43
Smart Sortino	-8.44	-8.32
Sortino/√2	-6.05	-5.96
Smart Sortino/√2	-5.97	-5.88
Omega	0.18	0.18
Max Drawdown	-27.6%	-22.31%
Longest DD Days	232	182
Volatility (ann.)	21.0%	19.27%
R^2	0.42	0.42
Information Ratio	-0.02	-0.02
Calmar	1.0	1.59
Skew	-0.05	-1.83
Kurtosis	25.62	12.6
Expected Daily	0.1%	0.12%
Expected Monthly	2.02%	2.51%
Expected Yearly	16.59%	20.98%
Kelly Criterion	13.36%	16.5%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.07%	-1.87%
Expected Shortfall (cVaR)	-2.07%	-1.87%
Max Consecutive Wins	8	9
Max Consecutive Losses	7	5
Gain/Pain Ratio	0.35	0.38
Gain/Pain (1M)	2.18	2.25
Payoff Ratio	0.96	0.95
Profit Factor	1.35	1.38
Common Sense Ratio	1.62	1.7
CPC Index	0.75	0.78
Tail Ratio	1.21	1.22
Outlier Win Ratio	5.28	3.94
Outlier Loss Ratio	3.82	4.91
MTD	0.0%	3.22%
3M	0.0%	8.94%
6M	0.0%	7.81%
YTD	0.0%	11.85%
1Y	26.6%	40.09%
3Y (ann.)	27.66%	35.4%
5Y (ann.)	27.66%	35.4%
10Y (ann.)	27.66%	35.4%
All-time (ann.)	27.66%	35.4%
Best Day	12.32%	4.32%
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%	2.9%
Avg. Drawdown	-2.75%	-2.4%
Avg. Drawdown Days	22	15
Recovery Factor	2.12	3.45
Ulcer Index	0.06	0.06
Serenity Index	-11.59	-10.85
Avg. Up Month	5.25%	5.54%
Avg. Down Month	-7.55%	-8.29%
Win Days	57.49%	59.38%
Win Month	82.35%	78.26%
Win Quarter	71.43%	77.78%
Win Year	100.0%	100.0%
Beta	0.71	-
Alpha	0.04	-
Correlation	65.08%	-
Treynor Ratio	-904.89%	-