AMEM[Strategy] vs RUB Inflation[Benchmark]

30 Apr, 2021 - 12 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-40.89%	7.02%
CAGR﹪	-35.47%	5.82%
Sharpe	-0.86	17.81
Prob. Sharpe Ratio	16.23%	100.0%
Smart Sharpe	-0.82	16.97
Sortino	-0.98	42.29
Smart Sortino	-0.94	40.3
Sortino/√2	-0.69	29.9
Smart Sortino/√2	-0.66	28.5
Omega	0.76	0.76
Max Drawdown	-48.16%	-0.74%
Longest DD Days	405	32
Volatility (ann.)	49.18%	0.41%
R^2	0.01	0.01
Information Ratio	-0.06	-0.06
Calmar	-0.74	7.88
Skew	-6.42	-1.24
Kurtosis	79.76	1.46
Expected Daily	-0.23%	0.03%
Expected Monthly	-3.96%	0.52%
Expected Yearly	-23.11%	3.45%
Kelly Criterion	-365.98%	82.95%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.26%	-0.01%
Expected Shortfall (cVaR)	-5.26%	-0.01%
Max Consecutive Wins	5	210
Max Consecutive Losses	5	22
Gain/Pain Ratio	-0.24	9.16
Gain/Pain (1M)	-0.63	9.16
Payoff Ratio	0.12	1.25
Profit Factor	0.76	10.16
Common Sense Ratio	0.63	26.22
CPC Index	0.05	11.52
Tail Ratio	0.83	2.58
Outlier Win Ratio	2.87	83.59
Outlier Loss Ratio	1.94	87.5
MTD	12.45%	-0.39%
3M	-39.36%	-0.74%
6M	-37.15%	1.12%
YTD	-36.33%	1.42%
1Y	-40.04%	5.4%
3Y (ann.)	-35.47%	5.82%
5Y (ann.)	-35.47%	5.82%
10Y (ann.)	-35.47%	5.82%
All-time (ann.)	-35.47%	5.82%
Best Day	14.24%	0.06%
Worst Day	-35.95%	-0.05%
Best Month	12.45%	1.17%
Worst Month	-46.07%	-0.39%
Best Year	-7.15%	5.53%
Worst Year	-36.33%	1.42%
Avg. Drawdown	-26.85%	-0.74%
Avg. Drawdown Days	216	32
Recovery Factor	-0.85	9.51
Ulcer Index	0.15	0.0
Serenity Index	-0.31	6.9
Avg. Up Month	1.74%	0.8%
Avg. Down Month	-46.07%	-0.35%
Win Days	49.54%	90.52%
Win Month	58.33%	83.33%
Win Quarter	50.0%	66.67%
Win Year	0.0%	100.0%
Beta	12.63	-
Alpha	-1.35	-
Correlation	10.59%	-
Treynor Ratio	-3.24%	-