SIPO[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 1 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-31.65%	10.22%
CAGR﹪	-25.72%	7.9%
Sharpe	-1.06	17.22
Prob. Sharpe Ratio	11.83%	100.0%
Smart Sharpe	-0.96	15.64
Sortino	-1.5	97.27
Smart Sortino	-1.37	88.35
Sortino/√2	-1.06	68.78
Smart Sortino/√2	-0.97	62.48
Omega	0.84	0.84
Max Drawdown	-34.27%	-0.4%
Longest DD Days	465	66
Volatility (ann.)	24.57%	0.43%
R^2	0.0	0.0
Information Ratio	-0.09	-0.09
Calmar	-0.75	19.76
Skew	0.67	1.43
Kurtosis	3.44	4.46
Expected Daily	-0.12%	0.03%
Expected Monthly	-2.21%	0.57%
Expected Yearly	-17.32%	4.99%
Kelly Criterion	10.96%	90.08%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-0.02%
Expected Shortfall (cVaR)	-2.65%	-0.02%
Max Consecutive Wins	6	262
Max Consecutive Losses	8	21
Gain/Pain Ratio	-0.16	24.29
Gain/Pain (1M)	-0.51	24.29
Payoff Ratio	1.63	1.8
Profit Factor	0.84	25.29
Common Sense Ratio	0.75	89.63
CPC Index	0.61	42.71
Tail Ratio	0.89	3.54
Outlier Win Ratio	1.95	68.84
Outlier Loss Ratio	1.67	100.88
MTD	0.07%	0.02%
3M	-12.66%	0.31%
6M	-12.95%	1.52%
YTD	-15.89%	4.69%
1Y	-10.94%	7.59%
3Y (ann.)	-25.72%	7.9%
5Y (ann.)	-25.72%	7.9%
10Y (ann.)	-25.72%	7.9%
All-time (ann.)	-25.72%	7.9%
Best Day	8.63%	0.14%
Worst Day	-5.04%	-0.02%
Best Month	13.45%	1.43%
Worst Month	-14.74%	-0.4%
Best Year	-15.89%	5.28%
Worst Year	-18.73%	4.69%
Avg. Drawdown	-34.27%	-0.4%
Avg. Drawdown Days	465	66
Recovery Factor	-0.92	25.55
Ulcer Index	0.21	0.0
Serenity Index	-0.07	19.37
Avg. Up Month	4.45%	0.66%
Avg. Down Month	-	-
Win Days	44.79%	93.62%
Win Month	47.06%	94.12%
Win Quarter	16.67%	100.0%
Win Year	0.0%	100.0%
Beta	1.78	-
Alpha	-0.39	-
Correlation	3.12%	-
Treynor Ratio	-17.83%	-