INRU RUB[Strategy] vs [Benchmark] MCFTR RUB

7 Jun, 2022 - 22 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	38.0%	100.0%
Cumulative Return	58.47%	58.57%
CAGR﹪	14.6%	14.62%
Sharpe	0.51	0.42
Prob. Sharpe Ratio	37.55%	23.9%
Smart Sharpe	0.5	0.41
Sortino	0.72	0.58
Smart Sortino	0.71	0.58
Sortino/√2	0.51	0.41
Smart Sortino/√2	0.5	0.41
Omega	1.17	1.17
Max Drawdown	-27.6%	-27.13%
Longest DD Days	777	273
Volatility (ann.)	15.69%	21.95%
R^2	0.18	0.18
Information Ratio	-0.0	-0.0
Calmar	0.53	0.54
Skew	0.08	-0.3
Kurtosis	47.9	6.46
Expected Daily	0.05%	0.05%
Expected Monthly	1.13%	1.13%
Expected Yearly	12.2%	12.22%
Kelly Criterion	13.41%	8.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.57%	-2.21%
Expected Shortfall (cVaR)	-1.57%	-2.21%
Max Consecutive Wins	8	9
Max Consecutive Losses	7	14
Gain/Pain Ratio	0.35	0.14
Gain/Pain (1M)	2.18	0.7
Payoff Ratio	0.96	0.95
Profit Factor	1.35	1.14
Common Sense Ratio	1.69	1.15
CPC Index	0.75	0.6
Tail Ratio	1.25	1.01
Outlier Win Ratio	11.48	3.38
Outlier Loss Ratio	3.07	3.16
MTD	0.0%	-0.6%
3M	0.0%	-5.25%
6M	0.0%	-3.22%
YTD	0.0%	-1.44%
1Y	0.0%	4.72%
3Y (ann.)	16.72%	17.04%
5Y (ann.)	14.6%	14.62%
10Y (ann.)	14.6%	14.62%
All-time (ann.)	14.6%	14.62%
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%	-1.44%
Avg. Drawdown	-2.75%	-3.44%
Avg. Drawdown Days	41	27
Recovery Factor	2.12	2.16
Ulcer Index	0.05	0.1
Serenity Index	1.12	0.36
Avg. Up Month	5.25%	5.54%
Avg. Down Month	-7.55%	-8.29%
Win Days	57.49%	55.63%
Win Month	82.35%	60.98%
Win Quarter	71.43%	53.33%
Win Year	100.0%	75.0%
Beta	0.31	-
Alpha	0.1	-
Correlation	42.87%	-
Treynor Ratio	167.93%	-