RCMX RUB[Strategy] vs MCFTR RUB[Benchmark]

4 Jun, 2020 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	25.19%	42.07%
CAGR﹪	5.33%	8.45%
Sharpe	-8.41	-6.85
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-8.02	-6.53
Sortino	-8.03	-6.92
Smart Sortino	-7.66	-6.6
Sortino/√2	-5.68	-4.9
Smart Sortino/√2	-5.41	-4.67
Omega	0.2	0.2
Max Drawdown	-52.41%	-53.53%
Longest DD Days	1076	1076
Volatility (ann.)	23.87%	28.64%
R^2	0.6	0.6
Information Ratio	-0.02	-0.02
Calmar	0.1	0.16
Skew	-1.33	-5.01
Kurtosis	17.27	124.34
Expected Daily	0.02%	0.03%
Expected Monthly	0.42%	0.66%
Expected Yearly	4.6%	7.28%
Kelly Criterion	-0.29%	2.48%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.44%	-2.92%
Expected Shortfall (cVaR)	-2.44%	-2.92%
Max Consecutive Wins	11	11
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.07	0.11
Gain/Pain (1M)	0.27	0.48
Payoff Ratio	0.86	0.82
Profit Factor	1.07	1.11
Common Sense Ratio	0.98	1.08
CPC Index	0.49	0.51
Tail Ratio	0.92	0.97
Outlier Win Ratio	3.64	3.81
Outlier Loss Ratio	3.92	3.99
MTD	-0.95%	-1.52%
3M	-9.61%	-7.58%
6M	-13.72%	-10.87%
YTD	-4.14%	-3.43%
1Y	-2.42%	-2.59%
3Y (ann.)	-6.87%	-5.07%
5Y (ann.)	5.33%	8.45%
10Y (ann.)	5.33%	8.45%
All-time (ann.)	5.33%	8.45%
Best Day	11.38%	20.04%
Worst Day	-15.34%	-33.28%
Best Month	15.01%	15.56%
Worst Month	-29.84%	-30.02%
Best Year	47.81%	53.84%
Worst Year	-38.05%	-37.26%
Avg. Drawdown	-3.33%	-3.11%
Avg. Drawdown Days	45	38
Recovery Factor	0.48	0.79
Ulcer Index	0.25	0.24
Serenity Index	-0.9	-1.07
Avg. Up Month	5.21%	5.44%
Avg. Down Month	-6.48%	-6.13%
Win Days	53.77%	55.96%
Win Month	62.26%	60.38%
Win Quarter	63.16%	57.89%
Win Year	60.0%	60.0%
Beta	0.65	-
Alpha	-0.0	-
Correlation	77.43%	-
Treynor Ratio	-1045.78%	-