RCMX RUB[Strategy] vs MCFTR RUB[Benchmark]

4 Jun, 2020 - 23 Nov, 2020

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	15.42%	15.3%
CAGR%	35.44%	35.13%
Sharpe	1.98	2.08
Sortino	3.1	3.24
Max Drawdown	-11.5%	-10.98%
Longest DD Days	94	90
Volatility (ann.)	16.7%	15.72%
R^2	0.85	0.85
Calmar	3.09	3.21
Skew	-0.07	-0.08
Kurtosis	1.37	0.91
Expected Daily %	0.13%	0.12%
Expected Monthly %	2.42%	2.4%
Expected Yearly %	15.42%	15.3%
Kelly Criterion	17.1%	16.41%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.6%	-1.5%
Expected Shortfall (cVaR)	-2.25%	-2.25%
Payoff Ratio	1.24	1.17
Profit Factor	0.4	0.4
Common Sense Ratio	0.5	0.5
CPC Index	0.27	0.26
Tail Ratio	1.25	1.25
Outlier Win Ratio	3.3	3.31
Outlier Loss Ratio	3.48	3.61
MTD	13.19%	13.2%
3M	2.43%	3.57%
6M	15.42%	15.3%
YTD	15.42%	15.3%
1Y	15.42%	15.3%
3Y (ann.)	35.57%	35.27%
5Y (ann.)	35.57%	35.27%
10Y (ann.)	35.57%	35.27%
All-time (ann.)	35.57%	35.27%
Best Day	3.32%	3.17%
Worst Day	-3.37%	-2.97%
Best Month	13.19%	13.2%
Worst Month	-6.34%	-5.83%
Best Year	15.42%	15.3%
Worst Year	15.42%	15.3%
Avg. Drawdown	-2.76%	-2.41%
Avg. Drawdown Days	18	15
Recovery Factor	1.34	1.39
Ulcer Index	1.05	1.1
Avg. Up Month	8.03%	7.92%
Avg. Down Month	-4.58%	-3.88%
Win Days %	54.13%	54.87%
Win Month %	66.67%	50.0%
Win Quarter %	100.0%	66.67%
Win Year %	100.0%	100.0%
Beta	0.98	-
Alpha	0.01	-