TRUR RUB[Strategy] vs MCFTR RUB[Benchmark]

13 Dec, 2019 - 7 May, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	18.56%	32.13%
CAGR%	12.89%	21.95%
Sharpe	1.56	0.99
Sortino	2.25	1.37
Max Drawdown	-9.6%	-34.19%
Longest DD Days	114	300
Volatility (ann.)	8.33%	23.66%
R^2	0.43	0.43
Calmar	1.35	0.64
Skew	-0.7	-0.68
Kurtosis	13.73	8.72
Expected Daily %	0.05%	0.08%
Expected Monthly %	0.95%	1.56%
Expected Yearly %	5.84%	9.73%
Kelly Criterion	14.44%	5.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.81%	-2.36%
Expected Shortfall (cVaR)	-1.46%	-1.46%
Payoff Ratio	1.03	0.84
Profit Factor	0.35	0.21
Common Sense Ratio	0.41	0.2
CPC Index	0.2	0.1
Tail Ratio	1.19	0.96
Outlier Win Ratio	6.46	2.31
Outlier Loss Ratio	8.94	3.0
MTD	1.33%	3.33%
3M	0.89%	10.37%
6M	4.51%	33.19%
YTD	0.28%	12.33%
1Y	12.55%	48.62%
3Y (ann.)	12.93%	22.02%
5Y (ann.)	12.93%	22.02%
10Y (ann.)	12.93%	22.02%
All-time (ann.)	12.93%	22.02%
Best Day	3.3%	7.69%
Worst Day	-3.85%	-8.25%
Best Month	6.59%	15.46%
Worst Month	-2.1%	-9.76%
Best Year	16.84%	14.8%
Worst Year	0.28%	2.46%
Avg. Drawdown	-1.32%	-3.14%
Avg. Drawdown Days	21	24
Recovery Factor	1.93	0.94
Ulcer Index	1.06	1.15
Avg. Up Month	2.15%	4.93%
Avg. Down Month	-1.49%	-5.16%
Win Days %	56.57%	56.8%
Win Month %	72.22%	72.22%
Win Quarter %	85.71%	85.71%
Win Year %	100.0%	100.0%
Beta	0.23	-
Alpha	0.08	-