RQIU[Strategy] vs RUB Inflation[Benchmark]

2 Dec, 2021 - 9 Jun, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	0.96%	5.87%
CAGR﹪	0.63%	3.83%
Sharpe	0.27	11.47
Prob. Sharpe Ratio	61.14%	100.0%
Smart Sharpe	0.25	10.66
Sortino	0.33	32.65
Smart Sortino	0.31	30.34
Sortino/√2	0.24	23.09
Smart Sortino/√2	0.22	21.45
Omega	1.06	1.06
Max Drawdown	-45.06%	-1.25%
Longest DD Days	469	209
Volatility (ann.)	45.47%	0.43%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.01	3.05
Skew	-5.07	0.06
Kurtosis	61.48	-0.65
Expected Daily	0.0%	0.02%
Expected Monthly	0.06%	0.34%
Expected Yearly	0.32%	1.92%
Kelly Criterion	4.72%	64.85%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.66%	-0.02%
Expected Shortfall (cVaR)	-4.66%	-0.02%
Max Consecutive Wins	6	178
Max Consecutive Losses	7	62
Gain/Pain Ratio	0.06	4.52
Gain/Pain (1M)	0.24	4.52
Payoff Ratio	0.94	1.51
Profit Factor	1.06	5.52
Common Sense Ratio	1.31	16.66
CPC Index	0.54	6.58
Tail Ratio	1.23	3.02
Outlier Win Ratio	1.98	97.45
Outlier Loss Ratio	1.52	130.6
MTD	3.66%	0.13%
3M	12.18%	1.2%
6M	36.61%	3.19%
YTD	27.62%	2.6%
1Y	39.32%	2.82%
3Y (ann.)	0.63%	3.83%
5Y (ann.)	0.63%	3.83%
10Y (ann.)	0.63%	3.83%
All-time (ann.)	0.63%	3.83%
Best Day	9.89%	0.07%
Worst Day	-33.14%	-0.02%
Best Month	18.32%	1.17%
Worst Month	-28.25%	-0.52%
Best Year	27.62%	2.6%
Worst Year	-20.45%	0.75%
Avg. Drawdown	-15.16%	-1.25%
Avg. Drawdown Days	137	209
Recovery Factor	0.02	4.68
Ulcer Index	0.28	0.01
Serenity Index	0.0	0.26
Avg. Up Month	5.61%	0.57%
Avg. Down Month	-11.87%	-0.43%
Win Days	53.74%	78.84%
Win Month	64.71%	82.35%
Win Quarter	71.43%	71.43%
Win Year	33.33%	100.0%
Beta	4.93	-
Alpha	-0.12	-
Correlation	4.62%	-
Treynor Ratio	0.19%	-