AMFL[Strategy] vs RUB Inflation[Benchmark]

27 Dec, 2024 - 29 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	81.0%	96.0%
Cumulative Return	1.57%	9.14%
CAGR﹪	18.77%	163.0%
Sharpe	5.77	69.28
Prob. Sharpe Ratio	98.29%	96.49%
Smart Sharpe	4.36	52.34
Sortino	17.42	-
Smart Sortino	13.16	-
Sortino/√2	12.32	-
Smart Sortino/√2	9.31	-
Omega	3.73	3.73
Max Drawdown	-0.26%	-
Longest DD Days	-	-
Volatility (ann.)	3.24%	1.52%
R^2	0.01	0.01
Information Ratio	-1.57	-1.57
Calmar	70.91	-
Skew	1.12	-4.58
Kurtosis	0.86	21.0
Expected Daily	0.07%	0.42%
Expected Monthly	0.78%	4.47%
Expected Yearly	0.78%	4.47%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.26%	-0.26%
Expected Shortfall (cVaR)	-0.26%	-0.26%
Max Consecutive Wins	3	20
Max Consecutive Losses	1	0
Gain/Pain Ratio	2.73	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.73	-
Common Sense Ratio	15.8	-
CPC Index	-	-
Tail Ratio	4.23	1.0
Outlier Win Ratio	3.47	1.18
Outlier Loss Ratio	0.76	-
MTD	1.06%	8.19%
3M	1.57%	9.14%
6M	1.57%	9.14%
YTD	1.06%	8.19%
1Y	1.57%	9.14%
3Y (ann.)	18.77%	163.0%
5Y (ann.)	18.77%	163.0%
10Y (ann.)	18.77%	163.0%
All-time (ann.)	18.77%	163.0%
Best Day	0.58%	0.44%
Worst Day	-0.26%	0.0%
Best Month	1.06%	8.19%
Worst Month	0.5%	0.88%
Best Year	1.06%	8.19%
Worst Year	0.5%	0.88%
Avg. Drawdown	-0.11%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.92	-
Ulcer Index	0.0	0.0
Serenity Index	17.23	-
Avg. Up Month	0.78%	4.53%
Avg. Down Month	-	-
Win Days	64.71%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.18	-
Alpha	0.0	-
Correlation	8.33%	-
Treynor Ratio	8.8%	-