RCMX RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

28 May, 2020 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	93.0%
Cumulative Return	24.53%	-100.0%
CAGR﹪	5.17%	-100.0%
Sharpe	0.34	-0.31
Prob. Sharpe Ratio	75.31%	19.11%
Smart Sharpe	0.32	-0.3
Sortino	0.44	-0.33
Smart Sortino	0.42	-0.31
Sortino/√2	0.31	-0.23
Smart Sortino/√2	0.3	-0.22
Omega	1.07	1.07
Max Drawdown	-52.41%	-100.0%
Longest DD Days	1076	488
Volatility (ann.)	23.86%	51.68%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.1	-1.0
Skew	-1.33	-26.8
Kurtosis	17.19	825.08
Expected Daily	0.02%	-100.0%
Expected Monthly	0.41%	-100.0%
Expected Yearly	4.48%	-100.0%
Kelly Criterion	11.43%	-35.21%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.44%	-5.42%
Expected Shortfall (cVaR)	-2.44%	-5.42%
Max Consecutive Wins	11	9
Max Consecutive Losses	8	12
Gain/Pain Ratio	0.07	-0.15
Gain/Pain (1M)	0.27	-0.39
Payoff Ratio	1.09	0.58
Profit Factor	1.07	0.85
Common Sense Ratio	0.97	0.85
CPC Index	0.63	0.25
Tail Ratio	0.91	1.0
Outlier Win Ratio	3.58	5.05
Outlier Loss Ratio	3.59	4.11
MTD	-0.95%	0.0%
3M	-9.61%	0.0%
6M	-13.72%	-100.0%
YTD	-4.14%	-100.0%
1Y	-2.42%	-100.0%
3Y (ann.)	-6.87%	-100.0%
5Y (ann.)	5.17%	-100.0%
10Y (ann.)	5.17%	-100.0%
All-time (ann.)	5.17%	-100.0%
Best Day	11.38%	10.7%
Worst Day	-15.34%	-100.0%
Best Month	15.01%	19.77%
Worst Month	-29.84%	-100.0%
Best Year	47.81%	29.27%
Worst Year	-38.05%	-100.0%
Avg. Drawdown	-3.25%	-9.07%
Avg. Drawdown Days	42	76
Recovery Factor	0.47	-1.0
Ulcer Index	0.25	0.3
Serenity Index	0.03	-0.19
Avg. Up Month	5.04%	4.45%
Avg. Down Month	-5.98%	-17.32%
Win Days	53.8%	50.1%
Win Month	61.11%	56.0%
Win Quarter	63.16%	64.71%
Win Year	60.0%	60.0%
Beta	-0.01	-
Alpha	0.08	-
Correlation	-1.72%	-
Treynor Ratio	-3095.83%	-