RUSB[Strategy] vs Inflation (RUB)[Benchmark]

17 Apr, 2018 - 7 Apr, 2020

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	100.0%
Cumulative Return	40.58%	7.75%
CAGR%	18.82%	3.85%
Sharpe	1.17	13.26
Sortino	1.71	74.6
Max Drawdown	-14.94%	-0.4%
Longest DD Days	233	119
Volatility (ann.)	15.95%	0.29%
R^2	0.0	0.0
Calmar	1.26	9.65
Skew	-0.82	2.33
Kurtosis	21.86	10.02
Expected Daily %	0.07%	0.02%
Expected Monthly %	1.37%	0.3%
Expected Yearly %	12.02%	2.52%
Kelly Criterion	1.86%	86.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.58%	-0.01%
Expected Shortfall (cVaR)	-3.26%	-3.26%
Payoff Ratio	1.02	1.87
Profit Factor	0.29	18.67
Common Sense Ratio	0.45	128.33
CPC Index	0.15	31.8
Tail Ratio	1.57	6.87
Outlier Win Ratio	1.98	68.29
Outlier Loss Ratio	1.8	112.5
MTD	-1.55%	0.13%
3M	18.63%	1.21%
6M	14.93%	1.54%
YTD	18.49%	1.25%
1Y	24.19%	2.43%
3Y (ann.)	18.82%	3.85%
5Y (ann.)	18.82%	3.85%
10Y (ann.)	18.82%	3.85%
All-time (ann.)	18.82%	3.85%
Best Day	6.75%	0.14%
Worst Day	-8.33%	-0.02%
Best Month	10.13%	0.93%
Worst Month	-3.08%	-0.24%
Best Year	18.49%	3.57%
Worst Year	4.43%	1.25%
Avg. Drawdown	-2.23%	-0.4%
Avg. Drawdown Days	27	119
Recovery Factor	2.72	19.41
Ulcer Index	1.03	0.86
Avg. Up Month	3.43%	0.34%
Avg. Down Month	-1.44%	-0.2%
Win Days %	50.34%	91.26%
Win Month %	60.0%	92.0%
Win Quarter %	55.56%	100.0%
Win Year %	100.0%	100.0%
Beta	-3.06	-
Alpha	0.3	-