AMRE[Strategy] vs RUB Inflation[Benchmark]

15 Apr, 2021 - 3 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	9.46%	31.53%
CAGR﹪	2.3%	7.15%
Sharpe	0.24	22.42
Prob. Sharpe Ratio	67.16%	100.0%
Smart Sharpe	0.2	18.63
Sortino	0.3	63.96
Smart Sortino	0.25	53.15
Sortino/√2	0.21	45.22
Smart Sortino/√2	0.18	37.58
Omega	1.06	1.06
Max Drawdown	-52.71%	-1.25%
Longest DD Days	1269	183
Volatility (ann.)	28.82%	0.33%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.04	5.7
Skew	-5.05	-1.09
Kurtosis	95.28	3.83
Expected Daily	0.01%	0.03%
Expected Monthly	0.2%	0.6%
Expected Yearly	1.82%	5.64%
Kelly Criterion	-10.67%	90.56%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.96%	-0.0%
Expected Shortfall (cVaR)	-2.96%	-0.0%
Max Consecutive Wins	10	660
Max Consecutive Losses	8	48
Gain/Pain Ratio	0.06	21.72
Gain/Pain (1M)	0.24	21.72
Payoff Ratio	0.7	1.21
Profit Factor	1.06	22.72
Common Sense Ratio	0.98	74.65
CPC Index	0.4	26.05
Tail Ratio	0.93	3.29
Outlier Win Ratio	1.94	55.37
Outlier Loss Ratio	1.74	75.57
MTD	-2.22%	0.12%
3M	6.91%	3.04%
6M	10.34%	6.62%
YTD	6.91%	3.04%
1Y	-4.6%	10.65%
3Y (ann.)	14.46%	7.24%
5Y (ann.)	2.3%	7.15%
10Y (ann.)	2.3%	7.15%
All-time (ann.)	2.3%	7.15%
Best Day	15.24%	0.07%
Worst Day	-30.58%	-0.09%
Best Month	15.94%	1.43%
Worst Month	-29.54%	-0.52%
Best Year	48.13%	9.51%
Worst Year	-35.9%	2.29%
Avg. Drawdown	-4.4%	-1.25%
Avg. Drawdown Days	77	183
Recovery Factor	0.18	25.13
Ulcer Index	0.25	0.0
Serenity Index	0.02	3.01
Avg. Up Month	4.77%	0.64%
Avg. Down Month	-5.03%	-0.35%
Win Days	54.44%	94.83%
Win Month	60.87%	93.48%
Win Quarter	58.82%	88.24%
Win Year	60.0%	100.0%
Beta	-1.52	-
Alpha	0.18	-
Correlation	-1.75%	-
Treynor Ratio	-6.22%	-