TRND RUB[Strategy] vs FMMM RUB[Benchmark]

24 Mar, 2025 - 11 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	94.0%
Cumulative Return	-9.89%	1.14%
CAGR﹪	-87.89%	25.95%
Sharpe	-5.16	15.03
Prob. Sharpe Ratio	8.55%	-
Smart Sharpe	-4.14	12.06
Sortino	-6.03	112.27
Smart Sortino	-4.83	90.07
Sortino/√2	-4.26	79.39
Smart Sortino/√2	-3.42	63.69
Omega	0.45	0.45
Max Drawdown	-14.5%	-
Longest DD Days	-	-
Volatility (ann.)	34.03%	0.82%
R^2	0.07	0.07
Information Ratio	-0.35	-0.35
Calmar	-6.06	-
Skew	0.37	1.15
Kurtosis	0.09	0.42
Expected Daily	-0.69%	0.08%
Expected Monthly	-5.07%	0.57%
Expected Yearly	-9.89%	1.14%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.2%	-0.01%
Expected Shortfall (cVaR)	-4.2%	-0.01%
Max Consecutive Wins	1	14
Max Consecutive Losses	4	0
Gain/Pain Ratio	-0.54	-
Gain/Pain (1M)	-1.0	-
Payoff Ratio	-	-
Profit Factor	0.46	-
Common Sense Ratio	0.31	-
CPC Index	-	-
Tail Ratio	0.68	5.44
Outlier Win Ratio	1.28	24.59
Outlier Loss Ratio	1.02	-
MTD	-6.2%	0.74%
3M	-9.89%	1.14%
6M	-9.89%	1.14%
YTD	-9.89%	1.14%
1Y	-9.89%	1.14%
3Y (ann.)	-87.89%	25.95%
5Y (ann.)	-87.89%	25.95%
10Y (ann.)	-87.89%	25.95%
All-time (ann.)	-87.89%	25.95%
Best Day	3.86%	0.17%
Worst Day	-4.47%	0.0%
Best Month	-3.94%	0.74%
Worst Month	-6.2%	0.4%
Best Year	-9.89%	1.14%
Worst Year	-9.89%	1.14%
Avg. Drawdown	-14.5%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.68	-
Ulcer Index	0.09	0.0
Serenity Index	-0.26	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	35.71%	100.0%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-11.15	-
Alpha	0.44	-
Correlation	-26.94%	-
Treynor Ratio	1.51%	-