RCMB[Strategy] vs RUB Inflation[Benchmark]

21 Oct, 2020 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	-2.24%	28.14%
CAGR﹪	-0.57%	6.48%
Sharpe	0.1	17.91
Prob. Sharpe Ratio	56.99%	99.72%
Smart Sharpe	0.09	14.79
Sortino	0.15	-
Smart Sortino	0.12	-
Sortino/√2	0.1	-
Smart Sortino/√2	0.09	-
Omega	1.02	1.02
Max Drawdown	-25.15%	-
Longest DD Days	-	-
Volatility (ann.)	26.57%	0.48%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.02	-
Skew	0.52	18.69
Kurtosis	18.96	446.99
Expected Daily	-0.0%	0.03%
Expected Monthly	-0.06%	0.65%
Expected Yearly	-0.45%	5.08%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.74%	-0.02%
Expected Shortfall (cVaR)	-2.74%	-0.02%
Max Consecutive Wins	9	733
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.02	-
Gain/Pain (1M)	0.14	-
Payoff Ratio	-	-
Profit Factor	1.02	-
Common Sense Ratio	1.02	-
CPC Index	-	-
Tail Ratio	1.0	6.4
Outlier Win Ratio	2.31	63.15
Outlier Loss Ratio	2.44	-
MTD	0.0%	0.75%
3M	12.78%	2.59%
6M	3.89%	4.53%
YTD	8.09%	6.56%
1Y	-8.69%	9.43%
3Y (ann.)	1.43%	5.85%
5Y (ann.)	-0.57%	6.48%
10Y (ann.)	-0.57%	6.48%
All-time (ann.)	-0.57%	6.48%
Best Day	14.07%	0.75%
Worst Day	-10.56%	0.0%
Best Month	15.83%	1.17%
Worst Month	-13.05%	0.17%
Best Year	8.09%	8.39%
Worst Year	-10.84%	1.93%
Avg. Drawdown	-11.37%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.09	-
Ulcer Index	0.11	0.0
Serenity Index	-0.02	-
Avg. Up Month	3.29%	0.59%
Avg. Down Month	-	-
Win Days	50.43%	100.0%
Win Month	51.35%	100.0%
Win Quarter	46.15%	100.0%
Win Year	40.0%	100.0%
Beta	-1.05	-
Alpha	0.12	-
Correlation	-1.88%	-
Treynor Ratio	2.13%	-