AMHY RUB[Strategy] vs MCFTR RUB[Benchmark]

6 May, 2021 - 12 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	92.0%	100.0%
Cumulative Return	-29.46%	-37.4%
CAGR%	-25.4%	-32.52%
Sharpe	-0.58	-0.79
Sortino	-0.71	-0.92
Max Drawdown	-44.4%	-51.09%
Longest DD Days	152	264
Volatility (ann.)	46.23%	48.52%
R^2	0.0	0.0
Calmar	-0.58	-0.64
Skew	-3.44	-4.64
Kurtosis	43.82	67.61
Expected Daily %	-0.15%	-0.2%
Expected Monthly %	-2.87%	-3.83%
Expected Yearly %	-16.01%	-20.88%
Kelly Criterion	-23.2%	-11.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.9%	-5.18%
Expected Shortfall (cVaR)	-13.51%	-13.51%
Payoff Ratio	0.78	0.69
Profit Factor	0.18	0.21
Common Sense Ratio	0.17	0.14
CPC Index	0.06	0.08
Tail Ratio	0.96	0.68
Outlier Win Ratio	6.44	5.97
Outlier Loss Ratio	6.88	5.16
MTD	16.25%	-2.52%
3M	-33.84%	-12.69%
6M	-32.18%	-42.11%
YTD	-30.78%	-42.61%
1Y	-30.16%	-42.06%
3Y (ann.)	-25.53%	-32.68%
5Y (ann.)	-25.53%	-32.68%
10Y (ann.)	-25.53%	-32.68%
All-time (ann.)	-25.53%	-32.68%
Best Day	15.27%	19.97%
Worst Day	-27.83%	-33.14%
Best Month	16.25%	5.01%
Worst Month	-43.09%	-29.87%
Best Year	1.91%	9.07%
Worst Year	-30.78%	-42.61%
Avg. Drawdown	-9.6%	-3.87%
Avg. Drawdown Days	58	22
Recovery Factor	-0.66	-0.73
Ulcer Index	inf	inf
Avg. Up Month	0.71%	3.67%
Avg. Down Month	-21.65%	-5.27%
Win Days %	46.19%	54.82%
Win Month %	58.33%	41.67%
Win Quarter %	50.0%	33.33%
Win Year %	50.0%	50.0%
Beta	-0.04	-
Alpha	-0.28	-