WILD RUB[Strategy] vs [Benchmark] IMOEX RUB

26 May, 2025 - 28 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	99.0%
Cumulative Return	1.27%	-2.91%
CAGR﹪	2.5%	-5.62%
Sharpe	-0.12	-0.44
Prob. Sharpe Ratio	25.71%	18.22%
Smart Sharpe	-0.1	-0.39
Sortino	-0.17	-0.61
Smart Sortino	-0.15	-0.55
Sortino/√2	-0.12	-0.43
Smart Sortino/√2	-0.11	-0.39
Omega	0.98	0.98
Max Drawdown	-17.98%	-17.77%
Longest DD Days	102	102
Volatility (ann.)	20.25%	22.33%
R^2	0.44	0.44
Information Ratio	0.03	0.03
Calmar	0.14	-0.32
Skew	0.61	0.02
Kurtosis	3.72	1.05
Expected Daily	0.01%	-0.02%
Expected Monthly	0.18%	-0.42%
Expected Yearly	1.27%	-2.91%
Kelly Criterion	-2.48%	-2.46%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.08%	-2.33%
Expected Shortfall (cVaR)	-2.08%	-2.33%
Max Consecutive Wins	8	8
Max Consecutive Losses	10	5
Gain/Pain Ratio	0.04	-0.02
Gain/Pain (1M)	0.17	-0.1
Payoff Ratio	0.94	0.85
Profit Factor	1.04	0.98
Common Sense Ratio	1.06	0.93
CPC Index	0.49	0.44
Tail Ratio	1.03	0.95
Outlier Win Ratio	3.31	3.22
Outlier Loss Ratio	3.42	2.86
MTD	4.53%	3.81%
3M	-10.29%	-9.96%
6M	0.14%	-4.22%
YTD	1.27%	-2.91%
1Y	1.27%	-2.91%
3Y (ann.)	2.5%	-5.62%
5Y (ann.)	2.5%	-5.62%
10Y (ann.)	2.5%	-5.62%
All-time (ann.)	2.5%	-5.62%
Best Day	6.26%	4.35%
Worst Day	-3.8%	-4.1%
Best Month	4.53%	6.12%
Worst Month	-9.03%	-7.41%
Best Year	1.27%	-2.91%
Worst Year	1.27%	-2.91%
Avg. Drawdown	-4.88%	-8.47%
Avg. Drawdown Days	26	55
Recovery Factor	0.07	-0.16
Ulcer Index	0.09	0.09
Serenity Index	-0.05	-0.1
Avg. Up Month	3.56%	3.84%
Avg. Down Month	-6.89%	-6.67%
Win Days	50.38%	53.03%
Win Month	71.43%	57.14%
Win Quarter	33.33%	33.33%
Win Year	100.0%	0.0%
Beta	0.6	-
Alpha	0.06	-
Correlation	66.43%	-
Treynor Ratio	-9.52%	-