RCMB RUB[Strategy] vs MCFTR RUB[Benchmark]

21 Oct, 2020 - 15 Jan, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	99.0%
Cumulative Return	-2.82%	24.55%
CAGR%	-11.4%	153.08%
Sharpe	-0.76	5.7
Sortino	-1.08	10.33
Max Drawdown	-7.94%	-4.46%
Longest DD Days	73	11
Volatility (ann.)	15.46%	17.64%
R^2	0.22	0.22
Calmar	-1.44	34.49
Skew	0.21	-0.21
Kurtosis	0.89	1.02
Expected Daily %	-0.05%	0.39%
Expected Monthly %	-0.71%	5.64%
Expected Yearly %	-1.42%	11.6%
Kelly Criterion	-0.17%	46.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.65%	-1.43%
Expected Shortfall (cVaR)	-2.25%	-2.25%
Payoff Ratio	1.25	1.35
Profit Factor	0.12	1.55
Common Sense Ratio	0.14	2.8
CPC Index	0.07	1.45
Tail Ratio	1.11	1.8
Outlier Win Ratio	3.62	2.76
Outlier Loss Ratio	3.38	2.83
MTD	-1.72%	5.04%
3M	-2.82%	24.55%
6M	-2.82%	24.55%
YTD	-1.72%	5.04%
1Y	-2.82%	24.55%
3Y (ann.)	-11.45%	153.89%
5Y (ann.)	-11.45%	153.89%
10Y (ann.)	-11.45%	153.89%
All-time (ann.)	-11.45%	153.89%
Best Day	2.45%	3.17%
Worst Day	-2.62%	-2.66%
Best Month	2.97%	15.46%
Worst Month	-3.01%	-3.42%
Best Year	-1.12%	18.57%
Worst Year	-1.72%	5.04%
Avg. Drawdown	-4.14%	-1.33%
Avg. Drawdown Days	38	4
Recovery Factor	-0.36	5.5
Ulcer Index	inf	1.22
Avg. Up Month	nan%	nan%
Avg. Down Month	nan%	nan%
Win Days %	44.44%	69.09%
Win Month %	25.0%	75.0%
Win Quarter %	0.0%	100.0%
Win Year %	0.0%	100.0%
Beta	-0.41	-
Alpha	0.29	-