TSPX[Strategy] vs RUB Inflation[Benchmark]

7 Sep, 2021 - 24 Feb, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-11.26%	7.63%
CAGR﹪	-7.83%	5.14%
Sharpe	0.05	16.14
Prob. Sharpe Ratio	52.26%	100.0%
Smart Sharpe	0.05	15.47
Sortino	0.06	44.6
Smart Sortino	0.06	42.75
Sortino/√2	0.04	31.54
Smart Sortino/√2	0.04	30.23
Omega	1.01	1.01
Max Drawdown	-43.59%	-0.91%
Longest DD Days	225	152
Volatility (ann.)	45.85%	0.41%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	-0.18	5.66
Skew	-9.77	-0.78
Kurtosis	136.17	-0.21
Expected Daily	-0.04%	0.03%
Expected Monthly	-0.85%	0.53%
Expected Yearly	-3.9%	2.48%
Kelly Criterion	-72.32%	78.18%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.74%	-0.02%
Expected Shortfall (cVaR)	-4.74%	-0.02%
Max Consecutive Wins	8	124
Max Consecutive Losses	7	35
Gain/Pain Ratio	0.01	8.06
Gain/Pain (1M)	0.05	8.06
Payoff Ratio	0.37	1.36
Profit Factor	1.01	9.06
Common Sense Ratio	1.17	25.84
CPC Index	0.2	10.81
Tail Ratio	1.15	2.85
Outlier Win Ratio	1.47	54.99
Outlier Loss Ratio	1.43	78.74
MTD	6.2%	0.46%
3M	21.15%	2.18%
6M	20.57%	2.57%
YTD	9.42%	1.3%
1Y	-13.55%	1.91%
3Y (ann.)	-7.83%	5.14%
5Y (ann.)	-7.83%	5.14%
10Y (ann.)	-7.83%	5.14%
All-time (ann.)	-7.83%	5.14%
Best Day	5.9%	0.06%
Worst Day	-40.25%	-0.03%
Best Month	13.32%	1.17%
Worst Month	-31.41%	-0.52%
Best Year	9.42%	3.5%
Worst Year	-24.7%	1.3%
Avg. Drawdown	-9.36%	-0.91%
Avg. Drawdown Days	53	152
Recovery Factor	-0.26	8.4
Ulcer Index	0.25	0.0
Serenity Index	-0.03	0.62
Avg. Up Month	6.01%	0.74%
Avg. Down Month	-18.53%	-0.45%
Win Days	53.07%	87.41%
Win Month	64.29%	85.71%
Win Quarter	66.67%	83.33%
Win Year	66.67%	100.0%
Beta	12.91	-
Alpha	-0.83	-
Correlation	11.58%	-
Treynor Ratio	-0.87%	-