WILD RUB[Strategy] vs [Benchmark] IMOEX RUB

26 May, 2025 - 11 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	2.4%	-2.14%
CAGR﹪	20.68%	-15.78%
Sharpe	0.78	-1.08
Prob. Sharpe Ratio	51.6%	24.88%
Smart Sharpe	0.65	-0.9
Sortino	1.09	-1.35
Smart Sortino	0.91	-1.13
Sortino/√2	0.77	-0.96
Smart Sortino/√2	0.64	-0.8
Omega	1.13	1.13
Max Drawdown	-4.85%	-7.51%
Longest DD Days	25	35
Volatility (ann.)	15.28%	19.4%
R^2	0.65	0.65
Information Ratio	0.18	0.18
Calmar	4.26	-2.1
Skew	-0.41	-0.7
Kurtosis	-0.55	0.47
Expected Daily	0.07%	-0.06%
Expected Monthly	0.79%	-0.72%
Expected Yearly	2.4%	-2.14%
Kelly Criterion	8.94%	-8.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.51%	-2.07%
Expected Shortfall (cVaR)	-1.51%	-2.07%
Max Consecutive Wins	8	8
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.2	-0.12
Gain/Pain (1M)	0.58	-0.26
Payoff Ratio	0.87	0.57
Profit Factor	1.2	0.88
Common Sense Ratio	1.19	0.67
CPC Index	0.6	0.31
Tail Ratio	0.99	0.76
Outlier Win Ratio	2.3	2.52
Outlier Loss Ratio	2.8	1.99
MTD	-4.31%	-7.21%
3M	2.4%	-2.14%
6M	2.4%	-2.14%
YTD	2.4%	-2.14%
1Y	2.4%	-2.14%
3Y (ann.)	20.68%	-15.78%
5Y (ann.)	20.68%	-15.78%
10Y (ann.)	20.68%	-15.78%
All-time (ann.)	20.68%	-15.78%
Best Day	1.63%	1.87%
Worst Day	-2.18%	-3.31%
Best Month	3.63%	4.78%
Worst Month	-4.31%	-7.21%
Best Year	2.4%	-2.14%
Worst Year	2.4%	-2.14%
Avg. Drawdown	-4.53%	-7.51%
Avg. Drawdown Days	17	35
Recovery Factor	0.49	-0.29
Ulcer Index	0.02	0.03
Serenity Index	-0.54	-0.67
Avg. Up Month	3.45%	2.72%
Avg. Down Month	-4.31%	-7.21%
Win Days	57.58%	60.61%
Win Month	66.67%	66.67%
Win Quarter	50.0%	50.0%
Win Year	100.0%	0.0%
Beta	0.64	-
Alpha	0.28	-
Correlation	80.69%	-
Treynor Ratio	-7.24%	-