RCHY RUB[Strategy] vs [Benchmark] RUHYRAIF RUB

9 Aug, 2021 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	95.0%
Cumulative Return	21.37%	25.26%
CAGR﹪	6.35%	7.42%
Sharpe	0.05	0.1
Prob. Sharpe Ratio	13.2%	35.09%
Smart Sharpe	0.03	0.07
Sortino	0.07	0.12
Smart Sortino	0.05	0.08
Sortino/√2	0.05	0.09
Smart Sortino/√2	0.03	0.06
Omega	1.02	1.02
Max Drawdown	-20.51%	-16.65%
Longest DD Days	149	152
Volatility (ann.)	16.26%	9.18%
R^2	0.43	0.43
Information Ratio	-0.0	-0.0
Calmar	0.31	0.45
Skew	-0.12	-8.14
Kurtosis	119.21	162.62
Expected Daily	0.02%	0.03%
Expected Monthly	0.5%	0.58%
Expected Yearly	4.96%	5.79%
Kelly Criterion	-2.04%	15.66%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.65%	-0.92%
Expected Shortfall (cVaR)	-1.65%	-0.92%
Max Consecutive Wins	13	28
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.15	0.45
Gain/Pain (1M)	1.63	1.51
Payoff Ratio	0.82	0.57
Profit Factor	1.15	1.45
Common Sense Ratio	1.2	2.07
CPC Index	0.51	0.57
Tail Ratio	1.04	1.43
Outlier Win Ratio	3.67	10.54
Outlier Loss Ratio	2.88	5.75
MTD	-0.77%	0.0%
3M	-0.49%	2.36%
6M	-0.12%	2.17%
YTD	3.02%	4.49%
1Y	5.31%	7.02%
3Y (ann.)	7.06%	8.15%
5Y (ann.)	6.35%	7.42%
10Y (ann.)	6.35%	7.42%
All-time (ann.)	6.35%	7.42%
Best Day	14.94%	5.78%
Worst Day	-15.05%	-10.14%
Best Month	5.32%	7.03%
Worst Month	-6.34%	-8.62%
Best Year	9.3%	9.82%
Worst Year	0.34%	0.8%
Avg. Drawdown	-1.04%	-0.67%
Avg. Drawdown Days	12	14
Recovery Factor	1.04	1.52
Ulcer Index	0.02	0.02
Serenity Index	1.65	1.25
Avg. Up Month	1.4%	1.5%
Avg. Down Month	-2.08%	-2.29%
Win Days	53.9%	69.38%
Win Month	71.05%	76.32%
Win Quarter	85.71%	84.62%
Win Year	100.0%	100.0%
Beta	1.16	-
Alpha	-0.01	-
Correlation	65.54%	-
Treynor Ratio	12.37%	-