AMFL[Strategy] vs RUB Inflation[Benchmark]

27 Dec, 2024 - 20 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	78.0%	100.0%
Cumulative Return	40.85%	11.45%
CAGR﹪	21.87%	6.46%
Sharpe	6.93	10.28
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.04	7.48
Sortino	15.29	84.46
Smart Sortino	11.12	61.45
Sortino/√2	10.81	59.73
Smart Sortino/√2	7.87	43.45
Omega	3.56	3.56
Max Drawdown	-0.65%	-0.4%
Longest DD Days	9	64
Volatility (ann.)	2.41%	0.51%
R^2	0.0	0.0
Information Ratio	0.3	0.3
Calmar	33.52	16.15
Skew	0.56	8.47
Kurtosis	3.64	105.38
Expected Daily	0.07%	0.02%
Expected Monthly	1.57%	0.49%
Expected Yearly	12.09%	3.68%
Kelly Criterion	58.22%	83.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.03%
Expected Shortfall (cVaR)	-0.18%	-0.03%
Max Consecutive Wins	9	297
Max Consecutive Losses	2	44
Gain/Pain Ratio	2.56	20.42
Gain/Pain (1M)	-	20.42
Payoff Ratio	1.8	3.22
Profit Factor	3.56	21.42
Common Sense Ratio	7.43	441.76
CPC Index	4.7	60.19
Tail Ratio	2.08	20.63
Outlier Win Ratio	2.27	10.53
Outlier Loss Ratio	1.1	16.65
MTD	0.79%	-0.05%
3M	4.06%	0.69%
6M	8.62%	1.82%
YTD	12.34%	4.62%
1Y	17.98%	6.05%
3Y (ann.)	21.87%	6.46%
5Y (ann.)	21.87%	6.46%
10Y (ann.)	21.87%	6.46%
All-time (ann.)	21.87%	6.46%
Best Day	0.99%	0.44%
Worst Day	-0.65%	-0.02%
Best Month	2.91%	1.62%
Worst Month	0.5%	-0.4%
Best Year	24.75%	5.6%
Worst Year	0.5%	0.88%
Avg. Drawdown	-0.14%	-0.27%
Avg. Drawdown Days	2	56
Recovery Factor	62.59	28.62
Ulcer Index	0.0	0.0
Serenity Index	471.69	33.64
Avg. Up Month	1.61%	0.6%
Avg. Down Month	-	-
Win Days	73.13%	87.4%
Win Month	100.0%	86.36%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.26	-
Alpha	0.15	-
Correlation	5.48%	-
Treynor Ratio	158.75%	-