YUAN[Strategy] vs RUB Inflation[Benchmark]

19 May, 2023 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	15.96%	7.56%
CAGR﹪	17.45%	8.24%
Sharpe	0.6	42.44
Prob. Sharpe Ratio	72.5%	-
Smart Sharpe	0.39	27.34
Sortino	0.94	-
Smart Sortino	0.6	-
Sortino/√2	0.66	-
Smart Sortino/√2	0.43	-
Omega	1.22	1.22
Max Drawdown	-21.55%	-
Longest DD Days	-	-
Volatility (ann.)	38.46%	0.18%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.81	-
Skew	2.44	-0.2
Kurtosis	85.92	-0.95
Expected Daily	0.06%	0.03%
Expected Monthly	1.24%	0.61%
Expected Yearly	7.68%	3.71%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.89%	-0.01%
Expected Shortfall (cVaR)	-3.89%	-0.01%
Max Consecutive Wins	7	235
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	2.98	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.21	-
CPC Index	-	-
Tail Ratio	0.99	4.13
Outlier Win Ratio	1.53	45.63
Outlier Loss Ratio	1.75	-
MTD	1.22%	0.29%
3M	5.87%	1.74%
6M	-1.65%	4.48%
YTD	2.66%	2.24%
1Y	15.96%	7.56%
3Y (ann.)	17.45%	8.24%
5Y (ann.)	17.45%	8.24%
10Y (ann.)	17.45%	8.24%
All-time (ann.)	17.45%	8.24%
Best Day	26.44%	0.05%
Worst Day	-21.55%	0.0%
Best Month	8.66%	1.11%
Worst Month	-4.88%	0.28%
Best Year	12.96%	5.21%
Worst Year	2.66%	2.24%
Avg. Drawdown	-11.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.74	-
Ulcer Index	0.11	0.0
Serenity Index	0.2	-
Avg. Up Month	2.86%	0.53%
Avg. Down Month	-	-
Win Days	53.85%	100.0%
Win Month	66.67%	100.0%
Win Quarter	80.0%	100.0%
Win Year	100.0%	100.0%
Beta	-10.83	-
Alpha	1.07	-
Correlation	-5.17%	-
Treynor Ratio	-1.47%	-