AMFL[Strategy] vs RUB Inflation[Benchmark]

27 Dec, 2024 - 18 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	99.0%
Cumulative Return	5.83%	4.06%
CAGR﹪	20.28%	13.86%
Sharpe	5.98	12.57
Prob. Sharpe Ratio	99.99%	100.0%
Smart Sharpe	4.21	8.86
Sortino	12.98	-
Smart Sortino	9.15	-
Sortino/√2	9.18	-
Smart Sortino/√2	6.47	-
Omega	2.85	2.85
Max Drawdown	-0.47%	-
Longest DD Days	-	-
Volatility (ann.)	3.07%	1.02%
R^2	0.02	0.02
Information Ratio	0.11	0.11
Calmar	43.49	-
Skew	0.37	5.72
Kurtosis	0.12	33.17
Expected Daily	0.07%	0.05%
Expected Monthly	1.14%	0.8%
Expected Yearly	2.87%	2.01%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.25%	-0.06%
Expected Shortfall (cVaR)	-0.25%	-0.06%
Max Consecutive Wins	8	77
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.85	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.85	-
Common Sense Ratio	5.48	-
CPC Index	-	-
Tail Ratio	1.92	1.98
Outlier Win Ratio	3.1	9.65
Outlier Loss Ratio	1.02	-
MTD	1.25%	0.43%
3M	4.38%	2.53%
6M	5.83%	4.06%
YTD	5.3%	3.16%
1Y	5.83%	4.06%
3Y (ann.)	20.28%	13.86%
5Y (ann.)	20.28%	13.86%
10Y (ann.)	20.28%	13.86%
All-time (ann.)	20.28%	13.86%
Best Day	0.58%	0.44%
Worst Day	-0.4%	0.0%
Best Month	1.59%	1.23%
Worst Month	0.5%	0.43%
Best Year	5.3%	3.16%
Worst Year	0.5%	0.88%
Avg. Drawdown	-0.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	12.5	-
Ulcer Index	0.0	0.0
Serenity Index	41.88	-
Avg. Up Month	1.14%	0.8%
Avg. Down Month	-	-
Win Days	68.92%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.44	-
Alpha	0.13	-
Correlation	14.72%	-
Treynor Ratio	13.21%	-