CNYM RUB[Strategy] vs AMNR RUB[Benchmark]

31 Jan, 2024 - 16 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	-5.13%	24.16%
CAGR﹪	-4.26%	19.61%
Sharpe	-0.51	15.89
Prob. Sharpe Ratio	8.32%	-
Smart Sharpe	-0.48	14.98
Sortino	-0.72	436.73
Smart Sortino	-0.68	411.81
Sortino/√2	-0.51	308.82
Smart Sortino/√2	-0.48	291.19
Omega	0.91	0.91
Max Drawdown	-25.86%	-
Longest DD Days	-	-
Volatility (ann.)	18.33%	0.69%
R^2	0.0	0.0
Information Ratio	-0.07	-0.07
Calmar	-0.16	-
Skew	0.43	1.46
Kurtosis	8.36	0.77
Expected Daily	-0.02%	0.07%
Expected Monthly	-0.33%	1.36%
Expected Yearly	-2.6%	11.43%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.91%	-0.0%
Expected Shortfall (cVaR)	-1.91%	-0.0%
Max Consecutive Wins	7	308
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.03	-
Gain/Pain (1M)	-0.1	-
Payoff Ratio	-	-
Profit Factor	0.97	-
Common Sense Ratio	0.9	-
CPC Index	-	-
Tail Ratio	0.93	4.8
Outlier Win Ratio	2.23	23.35
Outlier Loss Ratio	2.33	-
MTD	-3.55%	0.93%
3M	-18.8%	5.33%
6M	-18.3%	10.81%
YTD	-19.72%	6.1%
1Y	-8.63%	20.37%
3Y (ann.)	-4.26%	19.61%
5Y (ann.)	-4.26%	19.61%
10Y (ann.)	-4.26%	19.61%
All-time (ann.)	-4.26%	19.61%
Best Day	7.29%	0.22%
Worst Day	-4.96%	0.0%
Best Month	13.51%	1.83%
Worst Month	-9.77%	0.0%
Best Year	18.17%	17.02%
Worst Year	-19.72%	6.1%
Avg. Drawdown	-3.01%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.2	-
Ulcer Index	0.1	0.0
Serenity Index	-0.08	-
Avg. Up Month	3.81%	1.43%
Avg. Down Month	-	-
Win Days	51.14%	100.0%
Win Month	53.33%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	1.13	-
Alpha	-0.23	-
Correlation	4.21%	-
Treynor Ratio	-10.77%	-