WILD RUB[Strategy] vs [Benchmark] IMOEX RUB

26 May, 2025 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	99.0%
Cumulative Return	12.88%	7.84%
CAGR﹪	60.86%	34.47%
Sharpe	2.59	1.18
Prob. Sharpe Ratio	83.82%	58.12%
Smart Sharpe	2.3	1.04
Sortino	4.21	1.74
Smart Sortino	3.74	1.54
Sortino/√2	2.98	1.23
Smart Sortino/√2	2.65	1.09
Omega	1.51	1.51
Max Drawdown	-4.85%	-7.51%
Longest DD Days	25	62
Volatility (ann.)	15.42%	20.1%
R^2	0.54	0.54
Information Ratio	0.08	0.08
Calmar	12.54	4.59
Skew	-0.01	-0.02
Kurtosis	-0.03	0.94
Expected Daily	0.18%	0.11%
Expected Monthly	3.07%	1.9%
Expected Yearly	12.88%	7.84%
Kelly Criterion	18.88%	13.32%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.41%	-1.96%
Expected Shortfall (cVaR)	-1.41%	-1.96%
Max Consecutive Wins	8	8
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.63	0.29
Gain/Pain (1M)	-	2.06
Payoff Ratio	1.08	0.83
Profit Factor	1.63	1.29
Common Sense Ratio	1.87	1.12
CPC Index	1.02	0.65
Tail Ratio	1.15	0.87
Outlier Win Ratio	3.46	3.16
Outlier Loss Ratio	3.13	2.13
MTD	3.79%	6.56%
3M	12.88%	7.84%
6M	12.88%	7.84%
YTD	12.88%	7.84%
1Y	12.88%	7.84%
3Y (ann.)	60.86%	34.47%
5Y (ann.)	60.86%	34.47%
10Y (ann.)	60.86%	34.47%
All-time (ann.)	60.86%	34.47%
Best Day	2.46%	4.04%
Worst Day	-2.18%	-3.31%
Best Month	3.79%	6.56%
Worst Month	1.62%	-4.05%
Best Year	12.88%	7.84%
Worst Year	12.88%	7.84%
Avg. Drawdown	-2.5%	-3.97%
Avg. Drawdown Days	11	24
Recovery Factor	2.65	1.04
Ulcer Index	0.02	0.03
Serenity Index	0.87	0.07
Avg. Up Month	3.56%	4.0%
Avg. Down Month	-	-
Win Days	57.81%	60.61%
Win Month	100.0%	75.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.56	-
Alpha	0.3	-
Correlation	73.59%	-
Treynor Ratio	10.41%	-