RCUS RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

30 Sep, 2021 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-2.64%	33.18%
CAGR﹪	-1.38%	16.02%
Sharpe	0.19	0.7
Prob. Sharpe Ratio	59.53%	78.28%
Smart Sharpe	0.19	0.69
Sortino	0.23	0.86
Smart Sortino	0.23	0.86
Sortino/√2	0.16	0.61
Smart Sortino/√2	0.16	0.61
Omega	1.04	1.04
Max Drawdown	-43.59%	-39.65%
Longest DD Days	526	488
Volatility (ann.)	40.58%	32.91%
R^2	0.57	0.57
Information Ratio	-0.04	-0.04
Calmar	-0.03	0.4
Skew	-6.1	-6.7
Kurtosis	80.72	110.47
Expected Daily	-0.01%	0.07%
Expected Monthly	-0.12%	1.25%
Expected Yearly	-0.89%	10.02%
Kelly Criterion	1.75%	7.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.17%	-3.32%
Expected Shortfall (cVaR)	-4.17%	-3.32%
Max Consecutive Wins	8	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.04	0.21
Gain/Pain (1M)	0.17	0.79
Payoff Ratio	0.84	0.99
Profit Factor	1.04	1.21
Common Sense Ratio	0.93	1.3
CPC Index	0.48	0.64
Tail Ratio	0.89	1.08
Outlier Win Ratio	3.85	5.09
Outlier Loss Ratio	3.16	5.25
MTD	-6.16%	0.88%
3M	-6.67%	18.86%
6M	3.17%	28.08%
YTD	18.32%	38.58%
1Y	28.79%	59.9%
3Y (ann.)	-1.38%	16.02%
5Y (ann.)	-1.38%	16.02%
10Y (ann.)	-1.38%	16.02%
All-time (ann.)	-1.38%	16.02%
Best Day	7.08%	10.7%
Worst Day	-34.8%	-30.28%
Best Month	22.67%	19.77%
Worst Month	-30.05%	-25.9%
Best Year	18.32%	38.58%
Worst Year	-27.63%	-6.4%
Avg. Drawdown	-7.29%	-4.41%
Avg. Drawdown Days	55	41
Recovery Factor	-0.06	0.84
Ulcer Index	0.23	0.19
Serenity Index	-0.01	0.11
Avg. Up Month	6.33%	6.68%
Avg. Down Month	-14.91%	-11.86%
Win Days	55.13%	53.86%
Win Month	68.18%	68.18%
Win Quarter	62.5%	87.5%
Win Year	66.67%	66.67%
Beta	0.93	-
Alpha	-0.13	-
Correlation	75.24%	-
Treynor Ratio	-2.84%	-