MONY[Strategy] vs RUB Inflation[Benchmark]

26 Dec, 2024 - 7 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	33.25%	11.52%
CAGR﹪	17.49%	6.31%
Sharpe	4.86	11.03
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.24	7.35
Sortino	7.98	84.8
Smart Sortino	5.31	56.49
Sortino/√2	5.64	59.96
Smart Sortino/√2	3.76	39.94
Omega	2.58	2.58
Max Drawdown	-1.7%	-0.4%
Longest DD Days	46	65
Volatility (ann.)	2.93%	0.49%
R^2	0.0	0.0
Information Ratio	0.19	0.19
Calmar	10.31	15.78
Skew	-0.16	6.01
Kurtosis	21.53	56.45
Expected Daily	0.06%	0.02%
Expected Monthly	1.26%	0.48%
Expected Yearly	10.04%	3.7%
Kelly Criterion	45.32%	80.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.25%	-0.03%
Expected Shortfall (cVaR)	-0.25%	-0.03%
Max Consecutive Wins	23	277
Max Consecutive Losses	3	61
Gain/Pain Ratio	1.58	18.75
Gain/Pain (1M)	484.5	18.75
Payoff Ratio	0.84	5.13
Profit Factor	2.58	19.75
Common Sense Ratio	3.16	407.35
CPC Index	1.63	84.89
Tail Ratio	1.23	20.63
Outlier Win Ratio	2.54	11.41
Outlier Loss Ratio	1.35	29.29
MTD	0.32%	-0.02%
3M	3.72%	0.25%
6M	7.36%	1.52%
YTD	11.5%	4.57%
1Y	15.75%	5.78%
3Y (ann.)	17.49%	6.31%
5Y (ann.)	17.49%	6.31%
10Y (ann.)	17.49%	6.31%
All-time (ann.)	17.49%	6.31%
Best Day	1.65%	0.33%
Worst Day	-1.54%	-0.02%
Best Month	1.83%	1.62%
Worst Month	-0.06%	-0.4%
Best Year	19.57%	5.6%
Worst Year	-0.06%	0.99%
Avg. Drawdown	-0.2%	-0.29%
Avg. Drawdown Days	4	64
Recovery Factor	19.6	28.79
Ulcer Index	0.0	0.0
Serenity Index	35.97	29.79
Avg. Up Month	1.38%	0.59%
Avg. Down Month	-	-
Win Days	75.0%	83.86%
Win Month	95.65%	82.61%
Win Quarter	88.89%	88.89%
Win Year	66.67%	100.0%
Beta	-0.08	-
Alpha	0.15	-
Correlation	-1.36%	-
Treynor Ratio	-408.45%	-