RQIU[Strategy] vs RUB Inflation[Benchmark]

2 Dec, 2021 - 5 Dec, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	14.25%	10.83%
CAGR﹪	6.86%	5.25%
Sharpe	0.43	12.44
Prob. Sharpe Ratio	69.57%	100.0%
Smart Sharpe	0.43	12.35
Sortino	0.54	50.37
Smart Sortino	0.54	50.0
Sortino/√2	0.38	35.62
Smart Sortino/√2	0.38	35.36
Omega	1.1	1.1
Max Drawdown	-45.06%	-1.25%
Longest DD Days	507	209
Volatility (ann.)	42.89%	0.52%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.15	4.19
Skew	-4.43	2.12
Kurtosis	56.92	12.97
Expected Daily	0.03%	0.03%
Expected Monthly	0.58%	0.45%
Expected Yearly	4.54%	3.49%
Kelly Criterion	4.43%	75.23%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.37%	-0.03%
Expected Shortfall (cVaR)	-4.37%	-0.03%
Max Consecutive Wins	6	286
Max Consecutive Losses	7	62
Gain/Pain Ratio	0.1	8.15
Gain/Pain (1M)	0.45	8.15
Payoff Ratio	0.95	1.66
Profit Factor	1.1	9.15
Common Sense Ratio	1.26	27.63
CPC Index	0.56	12.85
Tail Ratio	1.14	3.02
Outlier Win Ratio	1.92	85.21
Outlier Loss Ratio	1.63	134.29
MTD	-3.36%	0.73%
3M	0.85%	3.49%
6M	12.7%	4.88%
YTD	44.42%	7.42%
1Y	58.1%	8.18%
3Y (ann.)	6.86%	5.25%
5Y (ann.)	6.86%	5.25%
10Y (ann.)	6.86%	5.25%
All-time (ann.)	6.86%	5.25%
Best Day	9.89%	0.24%
Worst Day	-33.14%	-0.02%
Best Month	18.32%	1.17%
Worst Month	-28.25%	-0.52%
Best Year	44.42%	7.42%
Worst Year	-20.45%	0.75%
Avg. Drawdown	-8.13%	-1.25%
Avg. Drawdown Days	72	209
Recovery Factor	0.32	8.63
Ulcer Index	0.24	0.0
Serenity Index	0.04	0.79
Avg. Up Month	5.32%	0.63%
Avg. Down Month	-11.87%	-0.43%
Win Days	53.35%	84.54%
Win Month	65.22%	86.96%
Win Quarter	77.78%	77.78%
Win Year	33.33%	100.0%
Beta	0.85	-
Alpha	0.13	-
Correlation	1.03%	-
Treynor Ratio	16.67%	-