AMNY[Strategy] vs RUB Inflation[Benchmark]

24 Jun, 2024 - 12 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	16.65%	16.9%
CAGR﹪	6.92%	7.02%
Sharpe	0.49	16.41
Prob. Sharpe Ratio	77.28%	100.0%
Smart Sharpe	0.48	16.03
Sortino	0.72	112.72
Smart Sortino	0.71	110.11
Sortino/√2	0.51	79.71
Smart Sortino/√2	0.5	77.86
Omega	1.09	1.09
Max Drawdown	-28.75%	-0.4%
Longest DD Days	682	70
Volatility (ann.)	16.32%	0.42%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.24	17.56
Skew	0.16	1.72
Kurtosis	2.46	8.28
Expected Daily	0.03%	0.03%
Expected Monthly	0.53%	0.54%
Expected Yearly	5.27%	5.34%
Kelly Criterion	16.04%	84.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.66%	-0.02%
Expected Shortfall (cVaR)	-1.66%	-0.02%
Max Consecutive Wins	9	273
Max Consecutive Losses	10	51
Gain/Pain Ratio	0.09	26.25
Gain/Pain (1M)	0.34	26.25
Payoff Ratio	1.33	3.77
Profit Factor	1.09	27.25
Common Sense Ratio	1.18	483.63
CPC Index	0.76	89.94
Tail Ratio	1.09	17.75
Outlier Win Ratio	1.79	41.17
Outlier Loss Ratio	1.88	168.24
MTD	2.0%	-0.03%
3M	11.57%	0.16%
6M	12.57%	1.48%
YTD	14.31%	4.55%
1Y	13.29%	5.67%
3Y (ann.)	6.92%	7.02%
5Y (ann.)	6.92%	7.02%
10Y (ann.)	6.92%	7.02%
All-time (ann.)	6.92%	7.02%
Best Day	5.48%	0.21%
Worst Day	-3.95%	-0.02%
Best Month	12.87%	1.62%
Worst Month	-8.96%	-0.4%
Best Year	24.74%	5.88%
Worst Year	-18.19%	4.55%
Avg. Drawdown	-2.58%	-0.3%
Avg. Drawdown Days	44	66
Recovery Factor	0.58	42.26
Ulcer Index	0.19	0.0
Serenity Index	0.03	42.68
Avg. Up Month	5.1%	0.66%
Avg. Down Month	-3.24%	-0.08%
Win Days	52.0%	87.5%
Win Month	51.72%	86.21%
Win Quarter	54.55%	90.91%
Win Year	66.67%	100.0%
Beta	-1.67	-
Alpha	0.19	-
Correlation	-4.26%	-
Treynor Ratio	-9.97%	-