WILD RUB[Strategy] vs [Benchmark] IMOEX RUB

26 May, 2025 - 11 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	0.08%	-6.83%
CAGR﹪	0.08%	-6.56%
Sharpe	-0.3	-0.65
Prob. Sharpe Ratio	14.7%	7.71%
Smart Sharpe	-0.27	-0.59
Sortino	-0.42	-0.9
Smart Sortino	-0.39	-0.82
Sortino/√2	-0.3	-0.64
Smart Sortino/√2	-0.27	-0.58
Omega	0.95	0.95
Max Drawdown	-17.98%	-17.77%
Longest DD Days	297	297
Volatility (ann.)	17.41%	18.19%
R^2	0.48	0.48
Information Ratio	0.03	0.03
Calmar	0.0	-0.37
Skew	0.44	0.08
Kurtosis	3.7	1.94
Expected Daily	0.0%	-0.03%
Expected Monthly	0.01%	-0.5%
Expected Yearly	0.04%	-3.48%
Kelly Criterion	-0.89%	-4.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.8%	-1.91%
Expected Shortfall (cVaR)	-1.8%	-1.91%
Max Consecutive Wins	8	8
Max Consecutive Losses	10	5
Gain/Pain Ratio	0.02	-0.05
Gain/Pain (1M)	0.07	-0.19
Payoff Ratio	1.01	0.97
Profit Factor	1.02	0.95
Common Sense Ratio	1.05	0.97
CPC Index	0.51	0.45
Tail Ratio	1.04	1.01
Outlier Win Ratio	3.39	3.22
Outlier Loss Ratio	3.44	3.41
MTD	-2.98%	-1.96%
3M	-10.85%	-11.86%
6M	-5.05%	-7.55%
YTD	-6.55%	-9.08%
1Y	-2.45%	-7.61%
3Y (ann.)	0.08%	-6.56%
5Y (ann.)	0.08%	-6.56%
10Y (ann.)	0.08%	-6.56%
All-time (ann.)	0.08%	-6.56%
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	-6.55%	-9.08%
Avg. Drawdown	-4.88%	-8.47%
Avg. Drawdown Days	59	120
Recovery Factor	0.0	-0.38
Ulcer Index	0.09	0.09
Serenity Index	-0.06	-0.11
Avg. Up Month	3.44%	3.16%
Avg. Down Month	-4.07%	-3.98%
Win Days	49.22%	48.5%
Win Month	57.14%	50.0%
Win Quarter	60.0%	60.0%
Win Year	50.0%	50.0%
Beta	0.66	-
Alpha	0.05	-
Correlation	69.14%	-
Treynor Ratio	-10.46%	-