RUMM[Strategy] vs RUB Inflation[Benchmark]

3 Aug, 2022 - 4 Jul, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	47.64%	4.32%
CAGR﹪	52.88%	4.72%
Sharpe	2.91	9.61
Prob. Sharpe Ratio	99.48%	100.0%
Smart Sharpe	2.74	9.06
Sortino	4.74	42.47
Smart Sortino	4.47	40.03
Sortino/√2	3.35	30.03
Smart Sortino/√2	3.16	28.3
Omega	1.69	1.69
Max Drawdown	-7.24%	-0.49%
Longest DD Days	64	111
Volatility (ann.)	17.95%	0.57%
R^2	0.0	0.0
Information Ratio	0.16	0.16
Calmar	7.3	9.55
Skew	0.12	5.45
Kurtosis	2.29	43.87
Expected Daily	0.2%	0.02%
Expected Monthly	3.3%	0.35%
Expected Yearly	21.51%	2.14%
Kelly Criterion	9.36%	81.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.65%	-0.04%
Expected Shortfall (cVaR)	-1.65%	-0.04%
Max Consecutive Wins	8	174
Max Consecutive Losses	7	19
Gain/Pain Ratio	0.69	8.55
Gain/Pain (1M)	7.58	8.55
Payoff Ratio	0.82	1.08
Profit Factor	1.69	9.55
Common Sense Ratio	1.83	21.9
CPC Index	0.82	9.31
Tail Ratio	1.08	2.29
Outlier Win Ratio	1.92	60.79
Outlier Loss Ratio	2.03	57.35
MTD	-0.42%	0.63%
3M	13.49%	1.68%
6M	29.36%	3.41%
YTD	29.36%	3.41%
1Y	47.64%	4.32%
3Y (ann.)	52.88%	4.72%
5Y (ann.)	52.88%	4.72%
10Y (ann.)	52.88%	4.72%
All-time (ann.)	52.88%	4.72%
Best Day	4.74%	0.31%
Worst Day	-3.15%	-0.03%
Best Month	13.52%	0.84%
Worst Month	-3.04%	-0.49%
Best Year	29.36%	3.41%
Worst Year	14.13%	0.88%
Avg. Drawdown	-2.13%	-0.49%
Avg. Drawdown Days	13	111
Recovery Factor	6.58	8.75
Ulcer Index	0.03	0.0
Serenity Index	3.2	1.95
Avg. Up Month	6.67%	0.41%
Avg. Down Month	-0.54%	-0.49%
Win Days	59.07%	90.16%
Win Month	58.33%	91.67%
Win Quarter	60.0%	80.0%
Win Year	100.0%	100.0%
Beta	0.68	-
Alpha	0.48	-
Correlation	2.18%	-
Treynor Ratio	69.72%	-