AMRE[Strategy] vs RUB Inflation[Benchmark]

15 Apr, 2021 - 2 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	13.65%	39.8%
CAGR﹪	2.57%	6.86%
Sharpe	0.24	20.51
Prob. Sharpe Ratio	69.57%	100.0%
Smart Sharpe	0.2	17.34
Sortino	0.3	63.42
Smart Sortino	0.26	53.61
Sortino/√2	0.22	44.84
Smart Sortino/√2	0.18	37.91
Omega	1.05	1.05
Max Drawdown	-52.71%	-1.25%
Longest DD Days	1663	183
Volatility (ann.)	26.62%	0.34%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.05	5.47
Skew	-4.83	-0.33
Kurtosis	99.66	3.44
Expected Daily	0.01%	0.03%
Expected Monthly	0.22%	0.57%
Expected Yearly	2.15%	5.74%
Kelly Criterion	-2.29%	89.85%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.73%	-0.01%
Expected Shortfall (cVaR)	-2.73%	-0.01%
Max Consecutive Wins	10	748
Max Consecutive Losses	8	48
Gain/Pain Ratio	0.05	20.15
Gain/Pain (1M)	0.25	20.15
Payoff Ratio	0.83	1.25
Profit Factor	1.05	21.15
Common Sense Ratio	1.02	69.5
CPC Index	0.47	24.93
Tail Ratio	0.97	3.29
Outlier Win Ratio	1.9	56.15
Outlier Loss Ratio	1.74	77.89
MTD	-0.44%	0.04%
3M	-5.62%	2.06%
6M	7.14%	4.46%
YTD	-2.48%	3.71%
1Y	3.82%	6.2%
3Y (ann.)	8.89%	8.19%
5Y (ann.)	1.33%	6.77%
10Y (ann.)	2.57%	6.86%
All-time (ann.)	2.57%	6.86%
Best Day	15.24%	0.09%
Worst Day	-30.58%	-0.09%
Best Month	15.94%	1.62%
Worst Month	-29.54%	-0.52%
Best Year	48.13%	9.51%
Worst Year	-35.9%	2.29%
Avg. Drawdown	-4.4%	-0.83%
Avg. Drawdown Days	99	123
Recovery Factor	0.26	31.72
Ulcer Index	0.23	0.0
Serenity Index	0.03	4.99
Avg. Up Month	4.45%	0.64%
Avg. Down Month	-5.03%	-0.35%
Win Days	53.68%	94.36%
Win Month	59.32%	93.22%
Win Quarter	61.9%	90.48%
Win Year	50.0%	100.0%
Beta	-0.95	-
Alpha	0.13	-
Correlation	-1.2%	-
Treynor Ratio	-14.36%	-