RCMX RUB[Strategy] vs Deposit RUB[Benchmark]

22 May, 2020 - 24 Nov, 2020

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	18.72%	2.63%
CAGR%	40.04%	5.23%
Sharpe	1.88	12.06
Sortino	2.97	32.9
Max Drawdown	-11.54%	-0.1%
Longest DD Days	94	1
Volatility (ann.)	15.27%	0.35%
R^2	0.03	0.03
Calmar	3.47	52.27
Skew	0.06	6.26
Kurtosis	1.62	76.48
Expected Daily %	0.11%	0.02%
Expected Monthly %	2.48%	0.37%
Expected Yearly %	18.72%	2.63%
Kelly Criterion	46.15%	95.9%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.47%	-0.02%
Expected Shortfall (cVaR)	-2.1%	-2.1%
Payoff Ratio	7.4	0.19
Profit Factor	0.42	25.97
Common Sense Ratio	0.45	43.49
CPC Index	1.63	4.79
Tail Ratio	1.09	1.67
Outlier Win Ratio	1.82	76.97
Outlier Loss Ratio	2.13	12.29
MTD	14.66%	0.37%
3M	3.71%	1.17%
6M	18.72%	2.63%
YTD	18.72%	2.63%
1Y	18.72%	2.63%
3Y (ann.)	40.04%	5.23%
5Y (ann.)	40.04%	5.23%
10Y (ann.)	40.04%	5.23%
All-time (ann.)	40.04%	5.23%
Best Day	3.33%	0.24%
Worst Day	-2.96%	-0.1%
Best Month	14.66%	0.4%
Worst Month	-6.37%	0.35%
Best Year	18.72%	2.63%
Worst Year	18.72%	2.63%
Avg. Drawdown	-2.36%	-0.1%
Avg. Drawdown Days	14	1
Recovery Factor	1.62	26.3
Ulcer Index	inf	inf
Avg. Up Month	5.59%	0.37%
Avg. Down Month	nan%	nan%
Win Days %	52.56%	99.36%
Win Month %	71.43%	100.0%
Win Quarter %	100.0%	100.0%
Win Year %	100.0%	100.0%
Beta	6.99	-
Alpha	-0.0	-