RCHY RUB[Strategy] vs TSOX RUB[Benchmark]

12 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	99.0%
Cumulative Return	16.55%	-5.25%
CAGR﹪	8.07%	-2.69%
Sharpe	0.24	0.03
Prob. Sharpe Ratio	25.12%	12.26%
Smart Sharpe	0.18	0.02
Sortino	0.34	0.04
Smart Sortino	0.26	0.03
Sortino/√2	0.24	0.03
Smart Sortino/√2	0.18	0.02
Omega	1.08	1.08
Max Drawdown	-20.51%	-55.76%
Longest DD Days	149	539
Volatility (ann.)	20.28%	46.45%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	0.39	-0.05
Skew	-0.16	-3.06
Kurtosis	94.08	30.01
Expected Daily	0.04%	-0.01%
Expected Monthly	0.7%	-0.24%
Expected Yearly	5.24%	-1.78%
Kelly Criterion	20.97%	8.88%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.06%	-4.78%
Expected Shortfall (cVaR)	-2.06%	-4.78%
Max Consecutive Wins	13	7
Max Consecutive Losses	5	12
Gain/Pain Ratio	0.21	0.03
Gain/Pain (1M)	1.82	0.11
Payoff Ratio	1.31	1.13
Profit Factor	1.21	1.03
Common Sense Ratio	1.25	1.05
CPC Index	0.87	0.6
Tail Ratio	1.04	1.02
Outlier Win Ratio	9.05	2.19
Outlier Loss Ratio	9.01	2.4
MTD	0.77%	-10.15%
3M	-0.21%	-23.48%
6M	2.45%	13.18%
YTD	5.58%	43.51%
1Y	6.83%	79.43%
3Y (ann.)	8.07%	-2.69%
5Y (ann.)	8.07%	-2.69%
10Y (ann.)	8.07%	-2.69%
All-time (ann.)	8.07%	-2.69%
Best Day	14.94%	7.04%
Worst Day	-15.05%	-30.74%
Best Month	5.32%	34.23%
Worst Month	-6.34%	-32.45%
Best Year	9.3%	43.51%
Worst Year	0.99%	-38.81%
Avg. Drawdown	-1.29%	-12.25%
Avg. Drawdown Days	13	76
Recovery Factor	0.81	-0.09
Ulcer Index	0.02	0.31
Serenity Index	2.04	-0.02
Avg. Up Month	1.4%	11.88%
Avg. Down Month	-1.45%	-11.38%
Win Days	55.2%	51.75%
Win Month	72.73%	63.64%
Win Quarter	88.89%	66.67%
Win Year	100.0%	66.67%
Beta	-0.05	-
Alpha	0.12	-
Correlation	-11.17%	-
Treynor Ratio	-195.74%	-