RCMX[Strategy] vs RUB Inflation[Benchmark]

22 May, 2020 - 1 Dec, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	30.93%	32.52%
CAGR﹪	7.94%	8.31%
Sharpe	0.44	2.01
Prob. Sharpe Ratio	78.84%	100.0%
Smart Sharpe	0.42	1.94
Sortino	0.58	96.18
Smart Sortino	0.56	92.75
Sortino/√2	0.41	68.01
Smart Sortino/√2	0.39	65.59
Omega	1.09	1.09
Max Drawdown	-52.41%	-1.25%
Longest DD Days	771	209
Volatility (ann.)	24.73%	4.09%
R^2	0.06	0.06
Information Ratio	0.01	0.01
Calmar	0.15	6.62
Skew	-1.54	29.27
Kurtosis	18.2	861.95
Expected Daily	0.03%	0.03%
Expected Monthly	0.61%	0.64%
Expected Yearly	6.97%	7.29%
Kelly Criterion	8.41%	84.21%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.52%	-0.39%
Expected Shortfall (cVaR)	-2.52%	-0.39%
Max Consecutive Wins	10	397
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.09	20.72
Gain/Pain (1M)	0.37	20.72
Payoff Ratio	1.01	3.64
Profit Factor	1.09	21.72
Common Sense Ratio	1.02	65.4
CPC Index	0.59	69.17
Tail Ratio	0.94	3.01
Outlier Win Ratio	1.75	43.77
Outlier Loss Ratio	2.22	187.19
MTD	-0.54%	0.04%
3M	-2.2%	2.59%
6M	18.53%	3.91%
YTD	45.95%	6.38%
1Y	47.11%	7.21%
3Y (ann.)	1.2%	9.17%
5Y (ann.)	7.94%	8.31%
10Y (ann.)	7.94%	8.31%
All-time (ann.)	7.94%	8.31%
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	45.95%	11.92%
Worst Year	-38.05%	2.68%
Avg. Drawdown	-3.25%	-0.68%
Avg. Drawdown Days	34	138
Recovery Factor	0.59	25.92
Ulcer Index	0.26	0.0
Serenity Index	0.04	35.49
Avg. Up Month	5.05%	0.82%
Avg. Down Month	-3.73%	-0.21%
Win Days	53.94%	87.61%
Win Month	63.64%	88.64%
Win Quarter	73.33%	93.33%
Win Year	75.0%	100.0%
Beta	1.45	-
Alpha	-0.01	-
Correlation	24.05%	-
Treynor Ratio	21.26%	-