SIPO[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2024 - 30 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-18.73%	5.47%
CAGR﹪	-37.51%	12.83%
Sharpe	-1.4	21.43
Prob. Sharpe Ratio	18.42%	-
Smart Sharpe	-1.1	16.93
Sortino	-2.07	-
Smart Sortino	-1.64	-
Sortino/√2	-1.46	-
Smart Sortino/√2	-1.16	-
Omega	0.78	0.78
Max Drawdown	-33.89%	-
Longest DD Days	-	-
Volatility (ann.)	29.01%	0.54%
R^2	0.0	0.0
Information Ratio	-0.11	-0.11
Calmar	-1.11	-
Skew	1.17	1.2
Kurtosis	4.62	1.56
Expected Daily	-0.18%	0.05%
Expected Monthly	-3.4%	0.89%
Expected Yearly	-18.73%	5.47%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.17%	-0.01%
Expected Shortfall (cVaR)	-3.17%	-0.01%
Max Consecutive Wins	4	116
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.22	-
Gain/Pain (1M)	-0.48	-
Payoff Ratio	-	-
Profit Factor	0.78	-
Common Sense Ratio	0.73	-
CPC Index	-	-
Tail Ratio	0.94	15.61
Outlier Win Ratio	1.9	59.8
Outlier Loss Ratio	1.66	-
MTD	13.45%	1.5%
3M	-9.85%	3.75%
6M	-18.73%	5.47%
YTD	-18.73%	5.47%
1Y	-18.73%	5.47%
3Y (ann.)	-37.51%	12.83%
5Y (ann.)	-37.51%	12.83%
10Y (ann.)	-37.51%	12.83%
All-time (ann.)	-37.51%	12.83%
Best Day	8.63%	0.14%
Worst Day	-4.23%	0.0%
Best Month	13.45%	1.5%
Worst Month	-14.74%	0.2%
Best Year	-18.73%	5.47%
Worst Year	-18.73%	5.47%
Avg. Drawdown	-33.89%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.55	-
Ulcer Index	0.2	0.0
Serenity Index	-0.05	-
Avg. Up Month	10.01%	0.99%
Avg. Down Month	-	-
Win Days	39.66%	100.0%
Win Month	33.33%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	2.99	-
Alpha	-0.75	-
Correlation	5.51%	-
Treynor Ratio	-6.27%	-