RCMB[Strategy] vs RUB Inflation[Benchmark]

21 Oct, 2020 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	6.0%	16.29%
CAGR﹪	2.01%	5.3%
Sharpe	0.26	33.41
Prob. Sharpe Ratio	63.92%	-
Smart Sharpe	0.25	31.63
Sortino	0.34	-
Smart Sortino	0.32	-
Sortino/√2	0.24	-
Smart Sortino/√2	0.23	-
Omega	1.05	1.05
Max Drawdown	-24.05%	-
Longest DD Days	-	-
Volatility (ann.)	17.29%	0.23%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.08	-
Skew	-2.74	0.33
Kurtosis	26.76	-0.58
Expected Daily	0.01%	0.03%
Expected Monthly	0.23%	0.61%
Expected Yearly	1.47%	3.85%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.77%	-0.01%
Expected Shortfall (cVaR)	-1.77%	-0.01%
Max Consecutive Wins	9	485
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.29	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.24	-
CPC Index	-	-
Tail Ratio	1.18	4.78
Outlier Win Ratio	1.85	41.36
Outlier Loss Ratio	1.86	-
MTD	0.14%	0.18%
3M	15.63%	1.22%
6M	27.66%	2.31%
YTD	21.35%	3.02%
1Y	21.35%	3.02%
3Y (ann.)	2.02%	5.31%
5Y (ann.)	2.01%	5.3%
10Y (ann.)	2.01%	5.3%
All-time (ann.)	2.01%	5.3%
Best Day	4.14%	0.06%
Worst Day	-10.56%	0.0%
Best Month	12.37%	1.17%
Worst Month	-11.3%	0.17%
Best Year	21.35%	8.39%
Worst Year	-10.84%	1.93%
Avg. Drawdown	-7.19%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.25	-
Ulcer Index	0.1	0.0
Serenity Index	0.04	-
Avg. Up Month	2.6%	0.49%
Avg. Down Month	-	-
Win Days	50.63%	100.0%
Win Month	60.0%	100.0%
Win Quarter	44.44%	100.0%
Win Year	25.0%	100.0%
Beta	-8.21	-
Alpha	0.69	-
Correlation	-11.12%	-
Treynor Ratio	-0.73%	-