AMRH RUB[Strategy] vs [Benchmark] ARHYB RUB

23 Aug, 2021 - 21 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	87.0%	98.0%
Cumulative Return	46.02%	40.59%
CAGR﹪	9.52%	8.52%
Sharpe	0.24	0.18
Prob. Sharpe Ratio	19.89%	23.36%
Smart Sharpe	0.17	0.13
Sortino	0.33	0.21
Smart Sortino	0.24	0.16
Sortino/√2	0.23	0.15
Smart Sortino/√2	0.17	0.11
Omega	1.07	1.07
Max Drawdown	-21.06%	-25.0%
Longest DD Days	240	162
Volatility (ann.)	15.3%	13.6%
R^2	0.28	0.28
Information Ratio	0.01	0.01
Calmar	0.45	0.34
Skew	-1.23	-8.53
Kurtosis	71.62	196.69
Expected Daily	0.04%	0.03%
Expected Monthly	0.75%	0.67%
Expected Yearly	7.87%	7.05%
Kelly Criterion	1.75%	19.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.54%	-1.37%
Expected Shortfall (cVaR)	-1.54%	-1.37%
Max Consecutive Wins	8	25
Max Consecutive Losses	8	13
Gain/Pain Ratio	0.21	0.38
Gain/Pain (1M)	1.96	1.23
Payoff Ratio	0.78	0.69
Profit Factor	1.21	1.38
Common Sense Ratio	1.28	1.98
CPC Index	0.54	0.64
Tail Ratio	1.06	1.43
Outlier Win Ratio	6.65	12.53
Outlier Loss Ratio	3.99	6.85
MTD	0.97%	-2.22%
3M	4.13%	-7.44%
6M	11.42%	-0.19%
YTD	17.03%	6.66%
1Y	20.99%	9.89%
3Y (ann.)	12.73%	10.05%
5Y (ann.)	9.52%	8.52%
10Y (ann.)	9.52%	8.52%
All-time (ann.)	9.52%	8.52%
Best Day	11.77%	10.67%
Worst Day	-14.25%	-15.72%
Best Month	8.18%	9.03%
Worst Month	-9.29%	-11.08%
Best Year	17.03%	11.03%
Worst Year	-0.27%	0.81%
Avg. Drawdown	-0.8%	-0.69%
Avg. Drawdown Days	12	11
Recovery Factor	2.19	1.62
Ulcer Index	0.03	0.03
Serenity Index	2.27	1.3
Avg. Up Month	1.89%	2.16%
Avg. Down Month	-2.24%	-2.45%
Win Days	56.9%	66.96%
Win Month	69.39%	74.51%
Win Quarter	66.67%	77.78%
Win Year	80.0%	100.0%
Beta	0.6	-
Alpha	0.05	-
Correlation	53.04%	-
Treynor Ratio	65.41%	-