RCMB[Strategy] vs RUB Inflation[Benchmark]

21 Oct, 2020 - 6 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-0.81%	28.01%
CAGR﹪	-0.21%	6.57%
Sharpe	0.12	39.87
Prob. Sharpe Ratio	58.18%	-
Smart Sharpe	0.1	32.8
Sortino	0.18	-
Smart Sortino	0.14	-
Sortino/√2	0.12	-
Smart Sortino/√2	0.1	-
Omega	1.03	1.03
Max Drawdown	-25.15%	-
Longest DD Days	-	-
Volatility (ann.)	26.72%	0.22%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.01	-
Skew	0.52	-0.11
Kurtosis	18.96	-0.68
Expected Daily	-0.0%	0.03%
Expected Monthly	-0.02%	0.67%
Expected Yearly	-0.16%	5.06%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.76%	-0.01%
Expected Shortfall (cVaR)	-2.76%	-0.01%
Max Consecutive Wins	9	716
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.16	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	1.05	-
CPC Index	-	-
Tail Ratio	1.02	4.78
Outlier Win Ratio	2.29	62.14
Outlier Loss Ratio	2.46	-
MTD	1.04%	0.25%
3M	7.85%	3.04%
6M	5.17%	4.77%
YTD	9.66%	6.46%
1Y	-8.05%	10.18%
3Y (ann.)	0.93%	6.15%
5Y (ann.)	-0.21%	6.57%
10Y (ann.)	-0.21%	6.57%
All-time (ann.)	-0.21%	6.57%
Best Day	14.07%	0.06%
Worst Day	-10.56%	0.0%
Best Month	15.83%	1.17%
Worst Month	-13.05%	0.17%
Best Year	9.66%	8.39%
Worst Year	-10.84%	1.93%
Avg. Drawdown	-11.37%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.03	-
Ulcer Index	0.11	0.0
Serenity Index	-0.01	-
Avg. Up Month	3.18%	0.58%
Avg. Down Month	-	-
Win Days	50.43%	100.0%
Win Month	54.05%	100.0%
Win Quarter	46.15%	100.0%
Win Year	40.0%	100.0%
Beta	-5.62	-
Alpha	0.52	-
Correlation	-4.58%	-
Treynor Ratio	0.14%	-