OPNA[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-4.35%	5.75%
CAGR﹪	-9.0%	12.6%
Sharpe	-0.14	65.59
Prob. Sharpe Ratio	46.27%	100.0%
Smart Sharpe	-0.08	38.99
Sortino	-0.21	-
Smart Sortino	-0.12	-
Sortino/√2	-0.15	-
Smart Sortino/√2	-0.09	-
Omega	0.97	0.97
Max Drawdown	-16.35%	-
Longest DD Days	-	-
Volatility (ann.)	31.71%	0.18%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.55	-
Skew	1.48	-0.33
Kurtosis	30.52	1.22
Expected Daily	-0.04%	0.05%
Expected Monthly	-0.74%	0.94%
Expected Yearly	-2.2%	2.83%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.3%	-0.03%
Expected Shortfall (cVaR)	-3.3%	-0.03%
Max Consecutive Wins	5	120
Max Consecutive Losses	5	0
Gain/Pain Ratio	-0.03	-
Gain/Pain (1M)	-0.24	-
Payoff Ratio	-	-
Profit Factor	0.97	-
Common Sense Ratio	0.93	-
CPC Index	-	-
Tail Ratio	0.96	2.05
Outlier Win Ratio	1.41	33.75
Outlier Loss Ratio	2.1	-
MTD	1.69%	1.17%
3M	0.34%	3.2%
6M	-4.35%	5.75%
YTD	3.47%	2.17%
1Y	-4.35%	5.75%
3Y (ann.)	-9.0%	12.6%
5Y (ann.)	-9.0%	12.6%
10Y (ann.)	-9.0%	12.6%
All-time (ann.)	-9.0%	12.6%
Best Day	14.35%	0.06%
Worst Day	-11.55%	0.0%
Best Month	1.75%	1.17%
Worst Month	-7.13%	0.57%
Best Year	3.47%	3.5%
Worst Year	-7.55%	2.17%
Avg. Drawdown	-16.35%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.27	-
Ulcer Index	0.07	0.0
Serenity Index	-0.12	-
Avg. Up Month	1.45%	0.99%
Avg. Down Month	-	-
Win Days	45.0%	100.0%
Win Month	50.0%	100.0%
Win Quarter	33.33%	100.0%
Win Year	50.0%	100.0%
Beta	10.59	-
Alpha	-1.28	-
Correlation	5.93%	-
Treynor Ratio	-0.41%	-