RCMB RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

29 Oct, 2020 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	89.0%
Cumulative Return	-4.79%	-100.0%
CAGR﹪	-1.24%	-100.0%
Sharpe	0.07	-0.48
Prob. Sharpe Ratio	54.66%	9.56%
Smart Sharpe	0.06	-0.4
Sortino	0.1	-0.49
Smart Sortino	0.08	-0.4
Sortino/√2	0.07	-0.35
Smart Sortino/√2	0.06	-0.29
Omega	1.02	1.02
Max Drawdown	-25.15%	-100.0%
Longest DD Days	1008	488
Volatility (ann.)	26.65%	60.59%
R^2	0.02	0.02
Information Ratio	0.03	0.03
Calmar	-0.05	-1.0
Skew	0.53	-24.73
Kurtosis	18.89	647.47
Expected Daily	-0.01%	-100.0%
Expected Monthly	-0.13%	-100.0%
Expected Yearly	-0.98%	-100.0%
Kelly Criterion	-4.67%	-29.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.75%	-6.39%
Expected Shortfall (cVaR)	-2.75%	-6.39%
Max Consecutive Wins	9	5
Max Consecutive Losses	6	10
Gain/Pain Ratio	0.02	-0.29
Gain/Pain (1M)	0.09	-0.62
Payoff Ratio	0.9	0.64
Profit Factor	1.02	0.71
Common Sense Ratio	0.98	0.82
CPC Index	0.46	0.23
Tail Ratio	0.97	1.16
Outlier Win Ratio	3.37	5.99
Outlier Loss Ratio	3.63	4.05
MTD	0.0%	0.0%
3M	12.78%	0.0%
6M	3.89%	-100.0%
YTD	8.09%	-100.0%
1Y	-8.69%	-100.0%
3Y (ann.)	1.43%	-100.0%
5Y (ann.)	-1.24%	-100.0%
10Y (ann.)	-1.24%	-100.0%
All-time (ann.)	-1.24%	-100.0%
Best Day	14.07%	8.19%
Worst Day	-10.56%	-100.0%
Best Month	15.83%	10.42%
Worst Month	-13.05%	-100.0%
Best Year	8.09%	11.14%
Worst Year	-10.84%	-100.0%
Avg. Drawdown	-14.13%	-17.1%
Avg. Drawdown Days	355	175
Recovery Factor	-0.19	-1.0
Ulcer Index	0.11	0.34
Serenity Index	-0.04	-0.18
Avg. Up Month	2.46%	2.56%
Avg. Down Month	-3.7%	-11.3%
Win Days	50.29%	49.61%
Win Month	51.35%	58.82%
Win Quarter	46.15%	50.0%
Win Year	40.0%	60.0%
Beta	0.06	-
Alpha	0.04	-
Correlation	13.81%	-
Treynor Ratio	-78.89%	-