AMRH[Strategy] vs RUB Inflation[Benchmark]

12 Aug, 2021 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	30.02%	30.79%
CAGR﹪	7.47%	7.64%
Sharpe	0.53	21.0
Prob. Sharpe Ratio	83.57%	100.0%
Smart Sharpe	0.37	14.78
Sortino	0.75	90.11
Smart Sortino	0.53	63.46
Sortino/√2	0.53	63.72
Smart Sortino/√2	0.38	44.87
Omega	1.16	1.16
Max Drawdown	-21.06%	-1.25%
Longest DD Days	240	209
Volatility (ann.)	16.42%	0.36%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.35	6.09
Skew	-1.13	-0.06
Kurtosis	62.29	0.71
Expected Daily	0.03%	0.03%
Expected Monthly	0.6%	0.61%
Expected Yearly	5.39%	5.52%
Kelly Criterion	-50.2%	88.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.67%	-0.01%
Expected Shortfall (cVaR)	-1.67%	-0.01%
Max Consecutive Wins	8	660
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.16	21.26
Gain/Pain (1M)	1.42	21.26
Payoff Ratio	0.43	1.76
Profit Factor	1.16	22.26
Common Sense Ratio	1.21	86.21
CPC Index	0.27	36.38
Tail Ratio	1.04	3.87
Outlier Win Ratio	4.36	52.91
Outlier Loss Ratio	2.81	78.92
MTD	0.23%	0.16%
3M	3.66%	3.02%
6M	8.31%	6.63%
YTD	4.24%	3.08%
1Y	10.04%	10.67%
3Y (ann.)	12.64%	6.91%
5Y (ann.)	7.47%	7.64%
10Y (ann.)	7.47%	7.64%
All-time (ann.)	7.47%	7.64%
Best Day	11.77%	0.1%
Worst Day	-14.25%	-0.02%
Best Month	8.18%	1.56%
Worst Month	-9.29%	-0.52%
Best Year	8.43%	9.51%
Worst Year	-0.3%	3.08%
Avg. Drawdown	-0.91%	-1.25%
Avg. Drawdown Days	13	209
Recovery Factor	1.43	24.54
Ulcer Index	0.03	0.0
Serenity Index	1.88	3.08
Avg. Up Month	1.62%	0.71%
Avg. Down Month	-	-
Win Days	54.87%	92.75%
Win Month	65.12%	93.18%
Win Quarter	62.5%	93.75%
Win Year	80.0%	100.0%
Beta	-0.83	-
Alpha	0.15	-
Correlation	-1.82%	-
Treynor Ratio	-36.15%	-