TITR[Strategy] vs RUB Inflation[Benchmark]

20 May, 2024 - 21 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	-32.64%	4.44%
CAGR﹪	-54.13%	8.96%
Sharpe	-2.62	31.04
Prob. Sharpe Ratio	2.77%	-
Smart Sharpe	-2.41	28.51
Sortino	-3.28	-
Smart Sortino	-3.02	-
Sortino/√2	-2.32	-
Smart Sortino/√2	-2.13	-
Omega	0.64	0.64
Max Drawdown	-32.84%	-
Longest DD Days	-	-
Volatility (ann.)	27.1%	0.27%
R^2	0.01	0.01
Information Ratio	-0.18	-0.18
Calmar	-1.65	-
Skew	-0.12	0.63
Kurtosis	1.34	0.53
Expected Daily	-0.3%	0.03%
Expected Monthly	-5.49%	0.62%
Expected Yearly	-32.64%	4.44%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.09%	-0.01%
Expected Shortfall (cVaR)	-3.09%	-0.01%
Max Consecutive Wins	5	132
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.36	-
Gain/Pain (1M)	-0.88	-
Payoff Ratio	-	-
Profit Factor	0.64	-
Common Sense Ratio	0.61	-
CPC Index	-	-
Tail Ratio	0.95	8.12
Outlier Win Ratio	1.79	61.16
Outlier Loss Ratio	1.31	-
MTD	-0.59%	0.49%
3M	-13.76%	1.8%
6M	-32.64%	4.44%
YTD	-32.64%	4.44%
1Y	-32.64%	4.44%
3Y (ann.)	-54.13%	8.96%
5Y (ann.)	-54.13%	8.96%
10Y (ann.)	-54.13%	8.96%
All-time (ann.)	-54.13%	8.96%
Best Day	4.19%	0.07%
Worst Day	-6.83%	0.0%
Best Month	4.92%	1.14%
Worst Month	-11.38%	0.2%
Best Year	-32.64%	4.44%
Worst Year	-32.64%	4.44%
Avg. Drawdown	-16.47%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.99	-
Ulcer Index	0.22	0.0
Serenity Index	-0.07	-
Avg. Up Month	4.92%	0.48%
Avg. Down Month	-	-
Win Days	42.52%	100.0%
Win Month	14.29%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-7.63	-
Alpha	-0.08	-
Correlation	-7.48%	-
Treynor Ratio	4.28%	-