AMRE[Strategy] vs RUB Inflation[Benchmark]

15 Apr, 2021 - 2 Oct, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	4.98%	12.83%
CAGR﹪	1.99%	5.02%
Sharpe	0.25	15.93
Prob. Sharpe Ratio	63.83%	100.0%
Smart Sharpe	0.2	12.6
Sortino	0.3	36.75
Smart Sortino	0.24	29.07
Sortino/√2	0.21	25.99
Smart Sortino/√2	0.17	20.56
Omega	1.06	1.06
Max Drawdown	-52.71%	-1.25%
Longest DD Days	720	183
Volatility (ann.)	33.56%	0.35%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.04	4.0
Skew	-5.61	-1.02
Kurtosis	87.63	3.59
Expected Daily	0.01%	0.02%
Expected Monthly	0.17%	0.43%
Expected Yearly	1.63%	4.1%
Kelly Criterion	-4.74%	82.23%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.44%	-0.01%
Expected Shortfall (cVaR)	-3.44%	-0.01%
Max Consecutive Wins	10	276
Max Consecutive Losses	5	48
Gain/Pain Ratio	0.06	9.56
Gain/Pain (1M)	0.27	9.56
Payoff Ratio	0.73	0.98
Profit Factor	1.06	10.56
Common Sense Ratio	0.99	29.85
CPC Index	0.43	9.47
Tail Ratio	0.93	2.83
Outlier Win Ratio	1.81	66.53
Outlier Loss Ratio	2.26	107.89
MTD	0.0%	0.01%
3M	15.44%	1.18%
6M	33.08%	2.26%
YTD	45.78%	3.97%
1Y	69.73%	5.36%
3Y (ann.)	1.99%	5.02%
5Y (ann.)	1.99%	5.02%
10Y (ann.)	1.99%	5.02%
All-time (ann.)	1.99%	5.02%
Best Day	15.24%	0.06%
Worst Day	-30.58%	-0.09%
Best Month	15.94%	1.17%
Worst Month	-29.54%	-0.52%
Best Year	45.78%	6.09%
Worst Year	-35.9%	2.29%
Avg. Drawdown	-4.4%	-1.25%
Avg. Drawdown Days	47	183
Recovery Factor	0.09	10.22
Ulcer Index	0.3	0.0
Serenity Index	0.01	0.75
Avg. Up Month	5.01%	0.55%
Avg. Down Month	-5.03%	-0.35%
Win Days	55.64%	91.19%
Win Month	66.67%	89.29%
Win Quarter	60.0%	81.82%
Win Year	66.67%	100.0%
Beta	-3.47	-
Alpha	0.28	-
Correlation	-3.62%	-
Treynor Ratio	-1.44%	-