RCMX RUB[Strategy] vs [Benchmark] MRBCTR RUB

28 May, 2020 - 13 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	78.0%	100.0%
Cumulative Return	24.53%	36.74%
CAGR﹪	4.09%	5.89%
Sharpe	-0.02	0.12
Prob. Sharpe Ratio	3.09%	4.65%
Smart Sharpe	-0.02	0.11
Sortino	-0.03	0.15
Smart Sortino	-0.03	0.14
Sortino/√2	-0.02	0.1
Smart Sortino/√2	-0.02	0.1
Omega	1.0	1.0
Max Drawdown	-52.41%	-53.27%
Longest DD Days	1484	1215
Volatility (ann.)	21.19%	28.26%
R^2	0.49	0.49
Information Ratio	-0.01	-0.01
Calmar	0.08	0.11
Skew	-1.48	-3.98
Kurtosis	22.54	102.15
Expected Daily	0.02%	0.02%
Expected Monthly	0.33%	0.47%
Expected Yearly	3.72%	5.35%
Kelly Criterion	0.03%	-0.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.17%	-2.89%
Expected Shortfall (cVaR)	-2.17%	-2.89%
Max Consecutive Wins	11	11
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.07	0.08
Gain/Pain (1M)	0.27	0.35
Payoff Ratio	0.86	0.81
Profit Factor	1.07	1.08
Common Sense Ratio	1.02	1.04
CPC Index	0.49	0.48
Tail Ratio	0.96	0.96
Outlier Win Ratio	5.4	3.47
Outlier Loss Ratio	3.7	3.51
MTD	0.0%	1.58%
3M	0.0%	-11.29%
6M	0.0%	-5.0%
YTD	0.0%	-1.3%
1Y	0.0%	6.08%
3Y (ann.)	12.92%	16.12%
5Y (ann.)	0.35%	1.97%
10Y (ann.)	4.09%	5.89%
All-time (ann.)	4.09%	5.89%
Best Day	11.38%	20.14%
Worst Day	-15.34%	-33.2%
Best Month	15.01%	15.76%
Worst Month	-29.84%	-29.79%
Best Year	47.81%	51.86%
Worst Year	-38.05%	-37.8%
Avg. Drawdown	-3.25%	-4.13%
Avg. Drawdown Days	54	57
Recovery Factor	0.47	0.69
Ulcer Index	0.24	0.23
Serenity Index	0.02	0.05
Avg. Up Month	5.1%	5.36%
Avg. Down Month	-5.99%	-6.5%
Win Days	53.8%	54.86%
Win Month	61.11%	58.21%
Win Quarter	63.16%	56.52%
Win Year	60.0%	66.67%
Beta	0.53	-
Alpha	0.01	-
Correlation	70.27%	-
Treynor Ratio	33.26%	-