RUSB[Strategy] vs RUB Inflation[Benchmark]

17 Apr, 2018 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	9.59%	23.78%
CAGR﹪	2.4%	5.68%
Sharpe	0.23	21.24
Prob. Sharpe Ratio	67.0%	100.0%
Smart Sharpe	0.22	20.19
Sortino	0.3	168.85
Smart Sortino	0.28	160.51
Sortino/√2	0.21	119.4
Smart Sortino/√2	0.2	113.49
Omega	1.05	1.05
Max Drawdown	-31.18%	-0.4%
Longest DD Days	479	120
Volatility (ann.)	16.28%	0.26%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.08	14.21
Skew	-2.93	0.26
Kurtosis	40.94	-0.29
Expected Daily	0.01%	0.02%
Expected Monthly	0.2%	0.45%
Expected Yearly	1.85%	4.36%
Kelly Criterion	4.16%	89.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.67%	-0.01%
Expected Shortfall (cVaR)	-1.67%	-0.01%
Max Consecutive Wins	9	357
Max Consecutive Losses	6	43
Gain/Pain Ratio	0.05	41.8
Gain/Pain (1M)	0.26	41.8
Payoff Ratio	1.12	4.7
Profit Factor	1.05	42.8
Common Sense Ratio	1.31	675.87
CPC Index	0.58	183.38
Tail Ratio	1.25	15.79
Outlier Win Ratio	1.93	46.52
Outlier Loss Ratio	1.75	184.92
MTD	-22.06%	1.17%
3M	-25.9%	3.2%
6M	-26.1%	5.82%
YTD	-25.33%	2.17%
1Y	-25.02%	9.24%
3Y (ann.)	-0.69%	5.74%
5Y (ann.)	2.4%	5.68%
10Y (ann.)	2.4%	5.68%
All-time (ann.)	2.4%	5.68%
Best Day	6.75%	0.06%
Worst Day	-13.35%	-0.01%
Best Month	10.13%	1.17%
Worst Month	-22.06%	-0.24%
Best Year	27.38%	8.39%
Worst Year	-25.33%	2.17%
Avg. Drawdown	-3.22%	-0.25%
Avg. Drawdown Days	46	93
Recovery Factor	0.31	59.51
Ulcer Index	0.06	0.0
Serenity Index	0.16	34.62
Avg. Up Month	2.52%	0.43%
Avg. Down Month	-0.63%	-0.1%
Win Days	49.28%	91.13%
Win Month	53.19%	91.49%
Win Quarter	43.75%	93.75%
Win Year	60.0%	100.0%
Beta	-6.06	-
Alpha	0.37	-
Correlation	-9.7%	-
Treynor Ratio	-1.58%	-