WILD RUB[Strategy] vs [Benchmark] IMOEX RUB

26 May, 2025 - 3 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	11.39%	4.64%
CAGR﹪	15.04%	6.07%
Sharpe	0.48	0.05
Prob. Sharpe Ratio	40.96%	26.46%
Smart Sharpe	0.43	0.04
Sortino	0.72	0.07
Smart Sortino	0.64	0.06
Sortino/√2	0.51	0.05
Smart Sortino/√2	0.45	0.04
Omega	1.09	1.09
Max Drawdown	-17.98%	-17.77%
Longest DD Days	197	197
Volatility (ann.)	18.14%	19.54%
R^2	0.45	0.45
Information Ratio	0.03	0.03
Calmar	0.84	0.34
Skew	0.51	-0.01
Kurtosis	4.16	1.82
Expected Daily	0.06%	0.02%
Expected Monthly	0.99%	0.41%
Expected Yearly	5.54%	2.29%
Kelly Criterion	5.78%	-1.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.82%	-1.99%
Expected Shortfall (cVaR)	-1.82%	-1.99%
Max Consecutive Wins	8	8
Max Consecutive Losses	10	5
Gain/Pain Ratio	0.16	0.07
Gain/Pain (1M)	0.87	0.35
Payoff Ratio	0.98	0.92
Profit Factor	1.16	1.07
Common Sense Ratio	1.22	1.07
CPC Index	0.6	0.51
Tail Ratio	1.06	1.0
Outlier Win Ratio	3.5	3.16
Outlier Loss Ratio	3.42	3.36
MTD	-0.09%	0.93%
3M	7.58%	5.92%
6M	1.68%	-0.71%
YTD	4.01%	2.12%
1Y	11.39%	4.64%
3Y (ann.)	15.04%	6.07%
5Y (ann.)	15.04%	6.07%
10Y (ann.)	15.04%	6.07%
All-time (ann.)	15.04%	6.07%
Best Day	6.26%	4.35%
Worst Day	-3.8%	-4.1%
Best Month	6.07%	6.12%
Worst Month	-9.03%	-7.41%
Best Year	7.1%	2.47%
Worst Year	4.01%	2.12%
Avg. Drawdown	-4.88%	-8.47%
Avg. Drawdown Days	42	87
Recovery Factor	0.63	0.26
Ulcer Index	0.09	0.09
Serenity Index	0.04	-0.02
Avg. Up Month	3.44%	3.16%
Avg. Down Month	-6.89%	-6.67%
Win Days	53.48%	51.28%
Win Month	72.73%	72.73%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.62	-
Alpha	0.11	-
Correlation	67.23%	-
Treynor Ratio	7.04%	-