AMRH RUB[Strategy] vs [Benchmark] ARHYB RUB

23 Aug, 2021 - 15 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	87.0%	98.0%
Cumulative Return	49.51%	44.08%
CAGR﹪	9.77%	8.83%
Sharpe	0.25	0.2
Prob. Sharpe Ratio	20.85%	24.82%
Smart Sharpe	0.18	0.15
Sortino	0.35	0.24
Smart Sortino	0.26	0.17
Sortino/√2	0.25	0.17
Smart Sortino/√2	0.18	0.12
Omega	1.07	1.07
Max Drawdown	-21.06%	-25.0%
Longest DD Days	240	162
Volatility (ann.)	15.04%	13.36%
R^2	0.28	0.28
Information Ratio	0.0	0.0
Calmar	0.46	0.35
Skew	-1.25	-8.68
Kurtosis	74.08	203.96
Expected Daily	0.04%	0.03%
Expected Monthly	0.76%	0.69%
Expected Yearly	8.38%	7.58%
Kelly Criterion	1.89%	20.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.52%	-1.35%
Expected Shortfall (cVaR)	-1.52%	-1.35%
Max Consecutive Wins	8	25
Max Consecutive Losses	8	13
Gain/Pain Ratio	0.22	0.4
Gain/Pain (1M)	2.07	1.34
Payoff Ratio	0.77	0.68
Profit Factor	1.22	1.4
Common Sense Ratio	1.3	2.1
CPC Index	0.54	0.65
Tail Ratio	1.06	1.5
Outlier Win Ratio	6.73	12.66
Outlier Loss Ratio	3.93	6.76
MTD	0.33%	0.43%
3M	3.45%	0.22%
6M	9.66%	-2.16%
YTD	19.82%	9.31%
1Y	25.13%	13.67%
3Y (ann.)	12.33%	9.76%
5Y (ann.)	9.77%	8.83%
10Y (ann.)	9.77%	8.83%
All-time (ann.)	9.77%	8.83%
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	19.82%	11.03%
Worst Year	-0.27%	0.81%
Avg. Drawdown	-0.75%	-0.69%
Avg. Drawdown Days	11	11
Recovery Factor	2.35	1.76
Ulcer Index	0.03	0.04
Serenity Index	2.52	1.29
Avg. Up Month	1.84%	2.08%
Avg. Down Month	-2.24%	-2.45%
Win Days	57.36%	67.52%
Win Month	70.59%	75.47%
Win Quarter	66.67%	83.33%
Win Year	80.0%	100.0%
Beta	0.6	-
Alpha	0.05	-
Correlation	53.02%	-
Treynor Ratio	71.23%	-