RCHY RUB[Strategy] vs [Benchmark] RUHYRAIF RUB

9 Aug, 2021 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	92.0%	95.0%
Cumulative Return	22.95%	22.38%
CAGR﹪	7.97%	7.78%
Sharpe	-11.48	-20.28
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-7.8	-13.78
Sortino	-10.51	-12.81
Smart Sortino	-7.14	-8.7
Sortino/√2	-7.44	-9.06
Smart Sortino/√2	-5.05	-6.15
Omega	0.08	0.08
Max Drawdown	-20.51%	-16.65%
Longest DD Days	149	152
Volatility (ann.)	17.38%	9.9%
R^2	0.44	0.44
Information Ratio	0.01	0.01
Calmar	0.39	0.47
Skew	-0.13	-7.63
Kurtosis	107.03	140.9
Expected Daily	0.03%	0.03%
Expected Monthly	0.63%	0.61%
Expected Yearly	5.3%	5.18%
Kelly Criterion	-2.15%	14.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.76%	-0.99%
Expected Shortfall (cVaR)	-1.76%	-0.99%
Max Consecutive Wins	13	28
Max Consecutive Losses	5	9
Gain/Pain Ratio	0.18	0.44
Gain/Pain (1M)	2.16	1.4
Payoff Ratio	0.8	0.54
Profit Factor	1.18	1.44
Common Sense Ratio	1.33	2.63
CPC Index	0.51	0.55
Tail Ratio	1.13	1.82
Outlier Win Ratio	3.87	11.05
Outlier Loss Ratio	3.05	6.02
MTD	1.18%	-0.18%
3M	3.11%	1.67%
6M	6.5%	4.45%
YTD	4.36%	2.09%
1Y	8.83%	7.03%
3Y (ann.)	7.97%	7.78%
5Y (ann.)	7.97%	7.78%
10Y (ann.)	7.97%	7.78%
All-time (ann.)	7.97%	7.78%
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	-1.02%	-0.71%
Avg. Drawdown Days	11	13
Recovery Factor	1.12	1.34
Ulcer Index	0.02	0.02
Serenity Index	-73.96	-42.94
Avg. Up Month	1.52%	1.67%
Avg. Down Month	-2.2%	-2.57%
Win Days	54.62%	69.86%
Win Month	75.0%	72.73%
Win Quarter	91.67%	83.33%
Win Year	100.0%	100.0%
Beta	1.17	-
Alpha	-0.0	-
Correlation	66.39%	-
Treynor Ratio	-580.68%	-