WILD RUB[Strategy] vs [Benchmark] IMOEX RUB

26 May, 2025 - 25 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	-7.08%	-21.58%
CAGR﹪	-5.71%	-17.68%
Sharpe	-0.49	-1.11
Prob. Sharpe Ratio	7.48%	1.57%
Smart Sharpe	-0.48	-1.08
Sortino	-0.68	-1.45
Smart Sortino	-0.66	-1.41
Sortino/√2	-0.48	-1.03
Smart Sortino/√2	-0.47	-1.0
Omega	0.92	0.92
Max Drawdown	-29.33%	-34.98%
Longest DD Days	372	372
Volatility (ann.)	21.01%	21.33%
R^2	0.61	0.61
Information Ratio	0.06	0.06
Calmar	-0.19	-0.51
Skew	-0.01	-0.26
Kurtosis	2.81	1.44
Expected Daily	-0.02%	-0.08%
Expected Monthly	-0.46%	-1.51%
Expected Yearly	-3.6%	-11.45%
Kelly Criterion	-2.9%	-9.62%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.19%	-2.28%
Expected Shortfall (cVaR)	-2.19%	-2.28%
Max Consecutive Wins	8	8
Max Consecutive Losses	10	6
Gain/Pain Ratio	-0.03	-0.13
Gain/Pain (1M)	-0.13	-0.49
Payoff Ratio	0.98	0.89
Profit Factor	0.97	0.87
Common Sense Ratio	0.83	0.78
CPC Index	0.47	0.38
Tail Ratio	0.86	0.9
Outlier Win Ratio	3.69	3.61
Outlier Loss Ratio	3.91	3.8
MTD	-4.64%	-4.91%
3M	-11.77%	-19.37%
6M	-16.42%	-23.77%
YTD	-13.24%	-23.48%
1Y	-17.91%	-26.91%
3Y (ann.)	-5.71%	-17.68%
5Y (ann.)	-5.71%	-17.68%
10Y (ann.)	-5.71%	-17.68%
All-time (ann.)	-5.71%	-17.68%
Best Day	6.26%	4.35%
Worst Day	-5.38%	-4.29%
Best Month	6.07%	6.12%
Worst Month	-9.03%	-8.48%
Best Year	7.1%	2.47%
Worst Year	-13.24%	-23.48%
Avg. Drawdown	-6.77%	-14.21%
Avg. Drawdown Days	71	145
Recovery Factor	-0.24	-0.62
Ulcer Index	0.11	0.14
Serenity Index	-0.08	-0.12
Avg. Up Month	3.44%	3.16%
Avg. Down Month	-4.96%	-5.04%
Win Days	49.19%	48.43%
Win Month	56.25%	43.75%
Win Quarter	50.0%	50.0%
Win Year	50.0%	50.0%
Beta	0.77	-
Alpha	0.09	-
Correlation	77.99%	-
Treynor Ratio	-18.33%	-