YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 14 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	15.12%	20.79%
CAGR﹪	5.81%	7.87%
Sharpe	0.34	26.68
Prob. Sharpe Ratio	70.92%	100.0%
Smart Sharpe	0.24	19.15
Sortino	0.51	135.74
Smart Sortino	0.37	97.42
Sortino/√2	0.36	95.99
Smart Sortino/√2	0.26	68.89
Omega	1.09	1.09
Max Drawdown	-21.55%	-0.4%
Longest DD Days	892	66
Volatility (ann.)	26.95%	0.28%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.27	19.67
Skew	2.64	-0.1
Kurtosis	131.97	0.63
Expected Daily	0.02%	0.03%
Expected Monthly	0.46%	0.61%
Expected Yearly	4.81%	6.5%
Kelly Criterion	36.15%	94.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.76%	-0.0%
Expected Shortfall (cVaR)	-2.76%	-0.0%
Max Consecutive Wins	7	561
Max Consecutive Losses	6	21
Gain/Pain Ratio	0.09	47.13
Gain/Pain (1M)	0.73	47.13
Payoff Ratio	2.75	1.61
Profit Factor	1.09	48.13
Common Sense Ratio	1.12	324.04
CPC Index	1.6	74.86
Tail Ratio	1.03	6.73
Outlier Win Ratio	1.95	49.99
Outlier Loss Ratio	1.88	83.41
MTD	1.04%	0.15%
3M	3.05%	0.62%
6M	5.16%	1.51%
YTD	-6.69%	4.83%
1Y	2.63%	7.08%
3Y (ann.)	5.81%	7.87%
5Y (ann.)	5.81%	7.87%
10Y (ann.)	5.81%	7.87%
All-time (ann.)	5.81%	7.87%
Best Day	26.44%	0.07%
Worst Day	-21.55%	-0.02%
Best Month	8.66%	1.43%
Worst Month	-5.89%	-0.4%
Best Year	12.96%	9.51%
Worst Year	-6.69%	4.83%
Avg. Drawdown	-11.38%	-0.4%
Avg. Drawdown Days	451	66
Recovery Factor	0.7	51.97
Ulcer Index	0.12	0.0
Serenity Index	0.12	50.68
Avg. Up Month	2.7%	0.58%
Avg. Down Month	-	-
Win Days	53.16%	96.7%
Win Month	58.06%	96.77%
Win Quarter	54.55%	100.0%
Win Year	66.67%	100.0%
Beta	-1.83	-
Alpha	0.23	-
Correlation	-1.9%	-
Treynor Ratio	-8.27%	-