MONY[Strategy] vs RUB Inflation[Benchmark]

26 Dec, 2024 - 28 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	22.87%	10.47%
CAGR﹪	19.16%	8.84%
Sharpe	9.42	13.29
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.45	9.1
Sortino	19.8	103.66
Smart Sortino	13.56	71.02
Sortino/√2	14.0	73.3
Smart Sortino/√2	9.59	50.22
Omega	5.34	5.34
Max Drawdown	-0.38%	-0.4%
Longest DD Days	11	63
Volatility (ann.)	1.82%	0.62%
R^2	0.01	0.01
Information Ratio	0.28	0.28
Calmar	51.04	22.09
Skew	0.08	4.34
Kurtosis	3.87	30.38
Expected Daily	0.07%	0.03%
Expected Monthly	1.38%	0.67%
Expected Yearly	7.11%	3.37%
Kelly Criterion	72.46%	89.21%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.12%	-0.03%
Expected Shortfall (cVaR)	-0.12%	-0.03%
Max Consecutive Wins	23	149
Max Consecutive Losses	2	21
Gain/Pain Ratio	4.34	24.85
Gain/Pain (1M)	347.01	24.85
Payoff Ratio	1.62	1.79
Profit Factor	5.34	25.85
Common Sense Ratio	14.54	103.68
CPC Index	7.16	43.15
Tail Ratio	2.72	4.01
Outlier Win Ratio	2.18	5.91
Outlier Loss Ratio	1.45	7.54
MTD	1.6%	1.93%
3M	4.26%	3.94%
6M	8.52%	5.19%
YTD	2.82%	3.58%
1Y	19.7%	7.23%
3Y (ann.)	19.16%	8.84%
5Y (ann.)	19.16%	8.84%
10Y (ann.)	19.16%	8.84%
All-time (ann.)	19.16%	8.84%
Best Day	0.59%	0.33%
Worst Day	-0.38%	-0.02%
Best Month	1.83%	1.93%
Worst Month	-0.06%	-0.4%
Best Year	19.57%	5.6%
Worst Year	-0.06%	0.99%
Avg. Drawdown	-0.12%	-0.4%
Avg. Drawdown Days	3	63
Recovery Factor	60.95	26.16
Ulcer Index	0.0	0.0
Serenity Index	309.41	26.22
Avg. Up Month	1.49%	0.72%
Avg. Down Month	-	-
Win Days	82.98%	93.07%
Win Month	93.33%	93.33%
Win Quarter	83.33%	100.0%
Win Year	66.67%	100.0%
Beta	-0.21	-
Alpha	0.19	-
Correlation	-7.1%	-
Treynor Ratio	-110.25%	-