TSPX[Strategy] vs RUB Inflation[Benchmark]

24 Feb, 2025 - 24 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	14.66%	3.74%
CAGR﹪	20.07%	5.03%
Sharpe	1.68	12.25
Prob. Sharpe Ratio	92.93%	100.0%
Smart Sharpe	1.52	11.12
Sortino	2.54	48.27
Smart Sortino	2.31	43.81
Sortino/√2	1.8	34.13
Smart Sortino/√2	1.63	30.98
Omega	1.37	1.37
Max Drawdown	-6.89%	-0.4%
Longest DD Days	60	63
Volatility (ann.)	11.14%	0.4%
R^2	0.0	0.0
Information Ratio	0.08	0.08
Calmar	2.91	12.59
Skew	0.33	3.55
Kurtosis	6.3	20.61
Expected Daily	0.07%	0.02%
Expected Monthly	1.38%	0.37%
Expected Yearly	14.66%	3.74%
Kelly Criterion	28.79%	79.78%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-0.02%
Expected Shortfall (cVaR)	-1.08%	-0.02%
Max Consecutive Wins	9	109
Max Consecutive Losses	4	21
Gain/Pain Ratio	0.37	9.17
Gain/Pain (1M)	4.35	9.17
Payoff Ratio	1.3	1.21
Profit Factor	1.37	10.17
Common Sense Ratio	1.35	16.44
CPC Index	1.06	10.91
Tail Ratio	0.99	1.62
Outlier Win Ratio	2.03	37.86
Outlier Loss Ratio	1.92	52.11
MTD	-1.38%	0.35%
3M	3.24%	1.1%
6M	12.26%	1.65%
YTD	14.66%	3.74%
1Y	14.66%	3.74%
3Y (ann.)	20.07%	5.03%
5Y (ann.)	20.07%	5.03%
10Y (ann.)	20.07%	5.03%
All-time (ann.)	20.07%	5.03%
Best Day	3.97%	0.16%
Worst Day	-2.65%	-0.02%
Best Month	4.57%	0.65%
Worst Month	-1.91%	-0.4%
Best Year	14.66%	3.74%
Worst Year	14.66%	3.74%
Avg. Drawdown	-1.1%	-0.4%
Avg. Drawdown Days	9	63
Recovery Factor	2.13	9.36
Ulcer Index	0.02	0.0
Serenity Index	2.02	3.79
Avg. Up Month	2.24%	0.44%
Avg. Down Month	-	-
Win Days	59.78%	88.95%
Win Month	80.0%	90.0%
Win Quarter	75.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.5	-
Alpha	0.21	-
Correlation	-1.79%	-
Treynor Ratio	-29.17%	-