RCMM[Strategy] vs RUB Inflation[Benchmark]

12 Aug, 2021 - 24 Aug, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	13.41%	20.35%
CAGR﹪	6.39%	9.54%
Sharpe	3.42	3.11
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	2.8	2.55
Sortino	5.84	84.21
Smart Sortino	4.78	68.96
Sortino/√2	4.13	59.55
Smart Sortino/√2	3.38	48.76
Omega	4.99	4.99
Max Drawdown	-1.47%	-1.25%
Longest DD Days	120	209
Volatility (ann.)	1.88%	3.05%
R^2	0.14	0.14
Information Ratio	-0.07	-0.07
Calmar	4.34	7.6
Skew	3.73	12.45
Kurtosis	99.04	156.19
Expected Daily	0.03%	0.04%
Expected Monthly	0.5%	0.74%
Expected Yearly	4.28%	6.37%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.17%	-0.28%
Expected Shortfall (cVaR)	-0.17%	-0.28%
Max Consecutive Wins	328	249
Max Consecutive Losses	16	65
Gain/Pain Ratio	3.99	14.75
Gain/Pain (1M)	11.53	14.75
Payoff Ratio	-	-
Profit Factor	4.99	15.75
Common Sense Ratio	223.32	54.71
CPC Index	-	-
Tail Ratio	44.78	3.47
Outlier Win Ratio	3.89	3.04
Outlier Loss Ratio	0.59	1.65
MTD	-0.86%	0.28%
3M	-0.92%	1.37%
6M	-0.51%	2.44%
YTD	0.5%	3.7%
1Y	2.93%	4.99%
3Y (ann.)	6.39%	9.54%
5Y (ann.)	6.39%	9.54%
10Y (ann.)	6.39%	9.54%
All-time (ann.)	6.39%	9.54%
Best Day	1.6%	2.47%
Worst Day	-1.07%	-0.02%
Best Month	1.75%	7.61%
Worst Month	-0.86%	-0.52%
Best Year	10.09%	11.92%
Worst Year	0.5%	3.7%
Avg. Drawdown	-0.23%	-1.25%
Avg. Drawdown Days	19	209
Recovery Factor	9.11	16.22
Ulcer Index	0.0	0.0
Serenity Index	26.17	9.27
Avg. Up Month	0.69%	1.07%
Avg. Down Month	-	-
Win Days	87.55%	86.82%
Win Month	80.0%	88.0%
Win Quarter	77.78%	88.89%
Win Year	100.0%	100.0%
Beta	0.23	-
Alpha	0.04	-
Correlation	36.89%	-
Treynor Ratio	58.96%	-