RCMX[Strategy] vs RUB Inflation[Benchmark]

22 May, 2020 - 2 Feb, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-6.55%	25.59%
CAGR﹪	-2.48%	8.8%
Sharpe	0.04	1.87
Prob. Sharpe Ratio	52.73%	100.0%
Smart Sharpe	0.04	1.8
Sortino	0.05	89.57
Smart Sortino	0.05	86.37
Sortino/√2	0.04	63.33
Smart Sortino/√2	0.04	61.07
Omega	1.01	1.01
Max Drawdown	-52.41%	-1.25%
Longest DD Days	469	209
Volatility (ann.)	27.05%	4.69%
R^2	0.06	0.06
Information Ratio	-0.02	-0.02
Calmar	-0.05	7.01
Skew	-1.5	25.5
Kurtosis	16.34	654.19
Expected Daily	-0.01%	0.03%
Expected Monthly	-0.2%	0.67%
Expected Yearly	-1.68%	5.86%
Kelly Criterion	10.04%	79.87%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.8%	-0.45%
Expected Shortfall (cVaR)	-2.8%	-0.45%
Max Consecutive Wins	10	397
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.01	16.8
Gain/Pain (1M)	0.03	16.8
Payoff Ratio	1.07	4.31
Profit Factor	1.01	17.8
Common Sense Ratio	0.88	61.85
CPC Index	0.58	64.12
Tail Ratio	0.87	3.47
Outlier Win Ratio	1.76	40.77
Outlier Loss Ratio	2.24	209.99
MTD	1.79%	0.07%
3M	4.19%	1.96%
6M	7.55%	1.7%
YTD	4.17%	0.82%
1Y	-32.17%	11.66%
3Y (ann.)	-2.48%	8.8%
5Y (ann.)	-2.48%	8.8%
10Y (ann.)	-2.48%	8.8%
All-time (ann.)	-2.48%	8.8%
Best Day	11.38%	7.61%
Worst Day	-15.34%	-0.02%
Best Month	15.01%	7.61%
Worst Month	-29.84%	-0.52%
Best Year	26.46%	11.92%
Worst Year	-38.05%	0.82%
Avg. Drawdown	-3.25%	-0.68%
Avg. Drawdown Days	25	138
Recovery Factor	-0.13	20.39
Ulcer Index	0.26	0.0
Serenity Index	-0.01	24.11
Avg. Up Month	4.77%	0.94%
Avg. Down Month	-3.73%	-0.21%
Win Days	53.52%	83.66%
Win Month	61.76%	85.29%
Win Quarter	66.67%	91.67%
Win Year	75.0%	100.0%
Beta	1.46	-
Alpha	-0.12	-
Correlation	25.41%	-
Treynor Ratio	-4.48%	-