RCMM RUB[Strategy] vs MCFTR RUB[Benchmark]

23 Aug, 2021 - 24 Aug, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	95.0%	100.0%
Cumulative Return	13.32%	-4.92%
CAGR﹪	6.44%	-2.49%
Sharpe	-106.7	-5.2
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-87.34	-4.26
Sortino	-15.72	-5.52
Smart Sortino	-12.87	-4.52
Sortino/√2	-11.11	-3.9
Smart Sortino/√2	-9.1	-3.19
Omega	0.0	0.0
Max Drawdown	-1.47%	-53.53%
Longest DD Days	120	672
Volatility (ann.)	1.9%	39.03%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	4.38	-0.05
Skew	3.7	-4.4
Kurtosis	97.46	78.75
Expected Daily	0.03%	-0.01%
Expected Monthly	0.5%	-0.2%
Expected Yearly	4.26%	-1.67%
Kelly Criterion	62.24%	33.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.17%	-4.02%
Expected Shortfall (cVaR)	-0.17%	-4.02%
Max Consecutive Wins	323	7
Max Consecutive Losses	16	5
Gain/Pain Ratio	3.96	0.04
Gain/Pain (1M)	11.45	0.14
Payoff Ratio	0.5	2.37
Profit Factor	4.96	1.04
Common Sense Ratio	223.58	0.92
CPC Index	2.17	1.31
Tail Ratio	45.06	0.89
Outlier Win Ratio	61.85	1.9
Outlier Loss Ratio	61.11	2.54
MTD	-0.86%	2.08%
3M	-0.92%	21.52%
6M	-0.51%	48.28%
YTD	0.5%	52.71%
1Y	2.93%	57.38%
3Y (ann.)	6.44%	-2.49%
5Y (ann.)	6.44%	-2.49%
10Y (ann.)	6.44%	-2.49%
All-time (ann.)	6.44%	-2.49%
Best Day	1.6%	20.04%
Worst Day	-1.07%	-33.28%
Best Month	1.75%	15.56%
Worst Month	-0.86%	-30.02%
Best Year	10.09%	52.71%
Worst Year	0.5%	-37.26%
Avg. Drawdown	-0.23%	-6.77%
Avg. Drawdown Days	19	79
Recovery Factor	9.05	-0.09
Ulcer Index	0.0	0.35
Serenity Index	-1328.2	-0.85
Avg. Up Month	0.62%	4.9%
Avg. Down Month	-	-
Win Days	87.39%	53.2%
Win Month	80.0%	68.0%
Win Quarter	77.78%	55.56%
Win Year	100.0%	33.33%
Beta	-0.0	-
Alpha	0.07	-
Correlation	-1.93%	-
Treynor Ratio	733323.78%	-