YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 19 Mar, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	8.83%	18.2%
CAGR﹪	4.72%	9.53%
Sharpe	0.3	37.13
Prob. Sharpe Ratio	66.12%	-
Smart Sharpe	0.21	26.1
Sortino	0.45	-
Smart Sortino	0.32	-
Sortino/√2	0.32	-
Smart Sortino/√2	0.23	-
Omega	1.09	1.09
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	30.28%	0.24%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.22	-
Skew	2.53	0.23
Kurtosis	112.49	-0.45
Expected Daily	0.02%	0.04%
Expected Monthly	0.37%	0.73%
Expected Yearly	2.86%	5.73%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.1%	-0.01%
Expected Shortfall (cVaR)	-3.1%	-0.01%
Max Consecutive Wins	7	468
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.09	-
Gain/Pain (1M)	0.57	-
Payoff Ratio	-	-
Profit Factor	1.09	-
Common Sense Ratio	1.03	-
CPC Index	-	-
Tail Ratio	0.95	5.03
Outlier Win Ratio	1.97	47.68
Outlier Loss Ratio	1.83	-
MTD	-5.43%	0.53%
3M	-7.01%	3.14%
6M	-1.75%	6.41%
YTD	-11.8%	2.59%
1Y	-4.99%	10.4%
3Y (ann.)	4.72%	9.53%
5Y (ann.)	4.72%	9.53%
10Y (ann.)	4.72%	9.53%
All-time (ann.)	4.72%	9.53%
Best Day	26.44%	0.07%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.43%
Worst Month	-5.89%	0.2%
Best Year	12.96%	9.51%
Worst Year	-11.8%	2.59%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.41	-
Ulcer Index	0.12	0.0
Serenity Index	0.08	-
Avg. Up Month	3.11%	0.66%
Avg. Down Month	-	-
Win Days	52.59%	100.0%
Win Month	56.52%	100.0%
Win Quarter	62.5%	100.0%
Win Year	66.67%	100.0%
Beta	-3.52	-
Alpha	0.41	-
Correlation	-2.81%	-
Treynor Ratio	-2.51%	-