RCMM RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

18 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	13.38%	28.51%
CAGR﹪	6.42%	13.25%
Sharpe	3.43	0.65
Prob. Sharpe Ratio	100.0%	82.09%
Smart Sharpe	2.81	0.53
Sortino	5.85	1.0
Smart Sortino	4.79	0.82
Sortino/√2	4.14	0.7
Smart Sortino/√2	3.39	0.58
Omega	4.98	4.98
Max Drawdown	-1.47%	-39.65%
Longest DD Days	120	488
Volatility (ann.)	1.89%	24.58%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	4.37	0.33
Skew	3.71	1.04
Kurtosis	98.05	11.16
Expected Daily	0.03%	0.05%
Expected Monthly	0.5%	1.01%
Expected Yearly	4.27%	8.72%
Kelly Criterion	75.71%	22.95%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.17%	-2.48%
Expected Shortfall (cVaR)	-0.17%	-2.48%
Max Consecutive Wins	326	9
Max Consecutive Losses	16	7
Gain/Pain Ratio	3.98	0.14
Gain/Pain (1M)	11.5	0.56
Payoff Ratio	1.07	1.68
Profit Factor	4.98	1.14
Common Sense Ratio	223.77	0.97
CPC Index	4.64	0.99
Tail Ratio	44.96	0.85
Outlier Win Ratio	64.29	2.38
Outlier Loss Ratio	39.84	2.33
MTD	-0.86%	3.56%
3M	-0.92%	18.38%
6M	-0.51%	26.49%
YTD	0.5%	35.72%
1Y	2.93%	58.4%
3Y (ann.)	6.42%	13.25%
5Y (ann.)	6.42%	13.25%
10Y (ann.)	6.42%	13.25%
All-time (ann.)	6.42%	13.25%
Best Day	1.6%	10.7%
Worst Day	-1.07%	-6.67%
Best Month	1.75%	19.77%
Worst Month	-0.86%	-16.34%
Best Year	10.09%	35.72%
Worst Year	0.5%	-6.4%
Avg. Drawdown	-0.23%	-5.08%
Avg. Drawdown Days	19	50
Recovery Factor	9.09	0.72
Ulcer Index	0.0	0.18
Serenity Index	25.96	0.07
Avg. Up Month	0.7%	6.68%
Avg. Down Month	-	-
Win Days	87.47%	51.75%
Win Month	80.0%	60.0%
Win Quarter	77.78%	77.78%
Win Year	100.0%	66.67%
Beta	-0.0	-
Alpha	0.07	-
Correlation	-3.36%	-
Treynor Ratio	-5182.87%	-