AMRH RUB[Strategy] vs [Benchmark] ARHYB RUB

23 Aug, 2021 - 16 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	86.0%	93.0%
Cumulative Return	64.27%	39.1%
CAGR﹪	10.29%	6.73%
Sharpe	0.27	0.03
Prob. Sharpe Ratio	22.83%	15.39%
Smart Sharpe	0.2	0.02
Sortino	0.38	0.04
Smart Sortino	0.28	0.03
Sortino/√2	0.27	0.03
Smart Sortino/√2	0.2	0.02
Omega	1.08	1.08
Max Drawdown	-21.06%	-25.0%
Longest DD Days	240	419
Volatility (ann.)	13.73%	12.36%
R^2	0.27	0.27
Information Ratio	0.02	0.02
Calmar	0.49	0.27
Skew	-1.35	-9.09
Kurtosis	88.32	229.7
Expected Daily	0.04%	0.03%
Expected Monthly	0.8%	0.53%
Expected Yearly	8.62%	5.65%
Kelly Criterion	5.16%	16.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.38%	-1.25%
Expected Shortfall (cVaR)	-1.38%	-1.25%
Max Consecutive Wins	8	25
Max Consecutive Losses	8	13
Gain/Pain Ratio	0.25	0.31
Gain/Pain (1M)	2.49	1.01
Payoff Ratio	0.8	0.68
Profit Factor	1.25	1.31
Common Sense Ratio	1.34	1.63
CPC Index	0.58	0.59
Tail Ratio	1.07	1.24
Outlier Win Ratio	7.02	13.1
Outlier Loss Ratio	4.36	6.74
MTD	0.43%	0.0%
3M	1.54%	-2.87%
6M	6.67%	-3.62%
YTD	8.93%	-1.34%
1Y	13.82%	-3.3%
3Y (ann.)	13.7%	5.62%
5Y (ann.)	10.54%	6.75%
10Y (ann.)	10.29%	6.73%
All-time (ann.)	10.29%	6.73%
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	20.86%	11.03%
Worst Year	-0.27%	-1.34%
Avg. Drawdown	-0.63%	-0.7%
Avg. Drawdown Days	9	14
Recovery Factor	3.05	1.56
Ulcer Index	0.03	0.04
Serenity Index	3.76	0.67
Avg. Up Month	1.82%	1.99%
Avg. Down Month	-2.03%	-2.26%
Win Days	57.93%	66.47%
Win Month	73.33%	71.67%
Win Quarter	71.43%	71.43%
Win Year	83.33%	83.33%
Beta	0.58	-
Alpha	0.06	-
Correlation	52.01%	-
Treynor Ratio	99.09%	-