TITR[Strategy] vs RUB Inflation[Benchmark]

20 May, 2024 - 16 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	99.0%
Cumulative Return	-24.58%	2.77%
CAGR﹪	-57.9%	8.75%
Sharpe	-2.6	23.13
Prob. Sharpe Ratio	6.52%	-
Smart Sharpe	-2.41	21.38
Sortino	-3.29	-
Smart Sortino	-3.04	-
Sortino/√2	-2.33	-
Smart Sortino/√2	-2.15	-
Omega	0.64	0.64
Max Drawdown	-32.34%	-
Longest DD Days	-	-
Volatility (ann.)	30.32%	0.35%
R^2	0.01	0.01
Information Ratio	-0.18	-0.18
Calmar	-1.79	-
Skew	-0.08	0.36
Kurtosis	1.05	-1.0
Expected Daily	-0.33%	0.03%
Expected Monthly	-5.49%	0.55%
Expected Yearly	-24.58%	2.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.46%	-0.0%
Expected Shortfall (cVaR)	-3.46%	-0.0%
Max Consecutive Wins	5	84
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.36	-
Gain/Pain (1M)	-0.87	-
Payoff Ratio	-	-
Profit Factor	0.64	-
Common Sense Ratio	0.55	-
CPC Index	-	-
Tail Ratio	0.86	8.12
Outlier Win Ratio	1.61	64.68
Outlier Loss Ratio	1.37	-
MTD	3.55%	0.1%
3M	-21.37%	1.78%
6M	-24.58%	2.77%
YTD	-24.58%	2.77%
1Y	-24.58%	2.77%
3Y (ann.)	-57.9%	8.75%
5Y (ann.)	-57.9%	8.75%
10Y (ann.)	-57.9%	8.75%
All-time (ann.)	-57.9%	8.75%
Best Day	4.19%	0.07%
Worst Day	-6.83%	0.0%
Best Month	3.55%	1.14%
Worst Month	-11.38%	0.1%
Best Year	-24.58%	2.77%
Worst Year	-24.58%	2.77%
Avg. Drawdown	-16.22%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.76	-
Ulcer Index	0.18	0.0
Serenity Index	-0.09	-
Avg. Up Month	3.55%	0.1%
Avg. Down Month	-	-
Win Days	40.0%	100.0%
Win Month	20.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-8.27	-
Alpha	-0.12	-
Correlation	-9.57%	-
Treynor Ratio	2.97%	-