AMHC[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	97.0%	100.0%
Cumulative Return	-19.07%	7.02%
CAGR﹪	-16.17%	5.82%
Sharpe	-0.28	17.81
Prob. Sharpe Ratio	38.62%	100.0%
Smart Sharpe	-0.25	15.71
Sortino	-0.31	42.29
Smart Sortino	-0.27	37.32
Sortino/√2	-0.22	29.9
Smart Sortino/√2	-0.19	26.39
Omega	0.92	0.92
Max Drawdown	-39.01%	-0.74%
Longest DD Days	137	32
Volatility (ann.)	42.66%	0.41%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.41	7.88
Skew	-8.64	-1.24
Kurtosis	114.21	1.46
Expected Daily	-0.09%	0.03%
Expected Monthly	-1.61%	0.52%
Expected Yearly	-10.04%	3.45%
Kelly Criterion	-233.19%	81.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.47%	-0.01%
Expected Shortfall (cVaR)	-4.47%	-0.01%
Max Consecutive Wins	9	210
Max Consecutive Losses	4	22
Gain/Pain Ratio	-0.08	9.16
Gain/Pain (1M)	-0.21	9.16
Payoff Ratio	0.16	1.07
Profit Factor	0.92	10.16
Common Sense Ratio	0.91	26.22
CPC Index	0.08	9.82
Tail Ratio	0.99	2.58
Outlier Win Ratio	2.55	69.5
Outlier Loss Ratio	1.7	65.29
MTD	16.17%	-0.39%
3M	-28.66%	-0.74%
6M	-25.48%	1.12%
YTD	-29.09%	1.42%
1Y	-22.95%	5.4%
3Y (ann.)	-16.17%	5.82%
5Y (ann.)	-16.17%	5.82%
10Y (ann.)	-16.17%	5.82%
All-time (ann.)	-16.17%	5.82%
Best Day	10.53%	0.06%
Worst Day	-34.23%	-0.05%
Best Month	16.17%	1.17%
Worst Month	-38.59%	-0.39%
Best Year	14.13%	5.53%
Worst Year	-29.09%	1.42%
Avg. Drawdown	-5.83%	-0.74%
Avg. Drawdown Days	33	32
Recovery Factor	-0.49	9.51
Ulcer Index	0.11	0.0
Serenity Index	-0.21	6.9
Avg. Up Month	3.57%	0.75%
Avg. Down Month	-38.59%	-0.35%
Win Days	53.12%	90.52%
Win Month	66.67%	83.33%
Win Quarter	66.67%	66.67%
Win Year	50.0%	100.0%
Beta	6.68	-
Alpha	-0.61	-
Correlation	6.45%	-
Treynor Ratio	-2.86%	-