TRND RUB[Strategy] vs MONY 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%	87.0%
Cumulative Return	-9.59%	1.15%
CAGR﹪	-87.04%	26.02%
Sharpe	-4.93	10.73
Prob. Sharpe Ratio	9.35%	-
Smart Sharpe	-3.96	8.63
Sortino	-5.83	65.93
Smart Sortino	-4.68	52.98
Sortino/√2	-4.12	46.62
Smart Sortino/√2	-3.31	37.46
Omega	0.47	0.47
Max Drawdown	-14.5%	-
Longest DD Days	-	-
Volatility (ann.)	34.49%	1.16%
R^2	0.1	0.1
Information Ratio	-0.33	-0.33
Calmar	-6.0	-
Skew	0.38	0.86
Kurtosis	-0.02	-0.44
Expected Daily	-0.67%	0.08%
Expected Monthly	-4.91%	0.57%
Expected Yearly	-9.59%	1.15%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.22%	-0.04%
Expected Shortfall (cVaR)	-4.22%	-0.04%
Max Consecutive Wins	1	9
Max Consecutive Losses	4	0
Gain/Pain Ratio	-0.52	-
Gain/Pain (1M)	-1.0	-
Payoff Ratio	-	-
Profit Factor	0.48	-
Common Sense Ratio	0.36	-
CPC Index	-	-
Tail Ratio	0.75	-
Outlier Win Ratio	1.26	25.12
Outlier Loss Ratio	1.02	-
MTD	-5.88%	0.72%
3M	-9.59%	1.15%
6M	-9.59%	1.15%
YTD	-9.59%	1.15%
1Y	-9.59%	1.15%
3Y (ann.)	-87.04%	26.02%
5Y (ann.)	-87.04%	26.02%
10Y (ann.)	-87.04%	26.02%
All-time (ann.)	-87.04%	26.02%
Best Day	3.86%	0.22%
Worst Day	-4.47%	0.0%
Best Month	-3.94%	0.72%
Worst Month	-5.88%	0.42%
Best Year	-9.59%	1.15%
Worst Year	-9.59%	1.15%
Avg. Drawdown	-14.5%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.66	-
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	-9.49	-
Alpha	0.19	-
Correlation	-31.82%	-
Treynor Ratio	1.75%	-