AMRE[Strategy] vs RUB Inflation[Benchmark]

15 Apr, 2021 - 18 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	22.61%	38.68%
CAGR﹪	4.22%	6.86%
Sharpe	0.31	20.41
Prob. Sharpe Ratio	73.58%	100.0%
Smart Sharpe	0.26	17.23
Sortino	0.39	63.02
Smart Sortino	0.33	53.21
Sortino/√2	0.27	44.56
Smart Sortino/√2	0.23	37.62
Omega	1.07	1.07
Max Drawdown	-52.71%	-1.25%
Longest DD Days	1618	183
Volatility (ann.)	27.01%	0.34%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.08	5.47
Skew	-4.8	-0.37
Kurtosis	97.46	3.27
Expected Daily	0.02%	0.03%
Expected Monthly	0.36%	0.58%
Expected Yearly	3.46%	5.6%
Kelly Criterion	-0.73%	89.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.77%	-0.01%
Expected Shortfall (cVaR)	-2.77%	-0.01%
Max Consecutive Wins	10	748
Max Consecutive Losses	8	48
Gain/Pain Ratio	0.07	19.67
Gain/Pain (1M)	0.33	19.67
Payoff Ratio	0.84	1.27
Profit Factor	1.07	20.67
Common Sense Ratio	1.04	67.91
CPC Index	0.48	24.63
Tail Ratio	0.97	3.29
Outlier Win Ratio	1.89	55.82
Outlier Loss Ratio	1.74	78.93
MTD	0.82%	0.51%
3M	7.04%	3.02%
6M	7.7%	4.31%
YTD	5.21%	2.88%
1Y	3.45%	6.1%
3Y (ann.)	14.23%	8.08%
5Y (ann.)	4.05%	6.87%
10Y (ann.)	4.22%	6.86%
All-time (ann.)	4.22%	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	97	123
Recovery Factor	0.43	30.83
Ulcer Index	0.23	0.0
Serenity Index	0.04	4.75
Avg. Up Month	4.34%	0.63%
Avg. Down Month	-5.03%	-0.35%
Win Days	54.11%	94.16%
Win Month	63.16%	92.98%
Win Quarter	65.0%	90.0%
Win Year	66.67%	100.0%
Beta	-1.03	-
Alpha	0.15	-
Correlation	-1.31%	-
Treynor Ratio	-21.91%	-