OPNA RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

14 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	-1.24%	13.85%
CAGR﹪	-2.74%	33.48%
Sharpe	0.07	1.6
Prob. Sharpe Ratio	51.99%	89.37%
Smart Sharpe	0.04	0.94
Sortino	0.11	3.37
Smart Sortino	0.07	1.98
Sortino/√2	0.08	2.38
Smart Sortino/√2	0.05	1.4
Omega	1.02	1.02
Max Drawdown	-13.64%	-5.89%
Longest DD Days	163	59
Volatility (ann.)	32.38%	18.84%
R^2	0.11	0.11
Information Ratio	-0.04	-0.04
Calmar	-0.2	5.68
Skew	1.43	2.94
Kurtosis	29.46	18.24
Expected Daily	-0.01%	0.11%
Expected Monthly	-0.21%	2.19%
Expected Yearly	-0.62%	6.7%
Kelly Criterion	-0.17%	13.48%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.35%	-1.83%
Expected Shortfall (cVaR)	-3.35%	-1.83%
Max Consecutive Wins	5	3
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.02	0.38
Gain/Pain (1M)	0.2	5.2
Payoff Ratio	1.15	1.69
Profit Factor	1.02	1.38
Common Sense Ratio	0.99	2.22
CPC Index	0.54	1.07
Tail Ratio	0.97	1.61
Outlier Win Ratio	2.81	3.34
Outlier Loss Ratio	3.09	5.15
MTD	1.69%	7.35%
3M	0.34%	10.68%
6M	-1.24%	13.85%
YTD	3.47%	11.14%
1Y	-1.24%	13.85%
3Y (ann.)	-2.74%	33.48%
5Y (ann.)	-2.74%	33.48%
10Y (ann.)	-2.74%	33.48%
All-time (ann.)	-2.74%	33.48%
Best Day	14.35%	8.19%
Worst Day	-11.55%	-2.64%
Best Month	1.75%	7.35%
Worst Month	-4.11%	-2.45%
Best Year	3.47%	11.14%
Worst Year	-4.55%	2.44%
Avg. Drawdown	-13.64%	-2.21%
Avg. Drawdown Days	163	13
Recovery Factor	-0.09	2.35
Ulcer Index	0.04	0.03
Serenity Index	-0.08	1.42
Avg. Up Month	1.45%	3.9%
Avg. Down Month	-2.73%	-1.34%
Win Days	46.49%	45.61%
Win Month	50.0%	66.67%
Win Quarter	33.33%	66.67%
Win Year	50.0%	100.0%
Beta	-0.56	-
Alpha	0.19	-
Correlation	-32.77%	-
Treynor Ratio	2.21%	-