MONY[Strategy] vs RUB Inflation[Benchmark]

26 Dec, 2024 - 27 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	17.85%	6.3%
CAGR﹪	19.53%	6.86%
Sharpe	11.89	10.56
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.34	8.3
Sortino	26.76	72.34
Smart Sortino	21.02	56.81
Sortino/√2	18.92	51.15
Smart Sortino/√2	14.86	40.17
Omega	7.74	7.74
Max Drawdown	-0.3%	-0.4%
Longest DD Days	9	63
Volatility (ann.)	1.48%	0.62%
R^2	0.01	0.01
Information Ratio	0.42	0.42
Calmar	65.55	17.15
Skew	-0.33	5.91
Kurtosis	2.37	44.4
Expected Daily	0.07%	0.03%
Expected Monthly	1.38%	0.51%
Expected Yearly	8.56%	3.1%
Kelly Criterion	78.34%	85.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.08%	-0.04%
Expected Shortfall (cVaR)	-0.08%	-0.04%
Max Consecutive Wins	23	149
Max Consecutive Losses	2	21
Gain/Pain Ratio	6.74	15.24
Gain/Pain (1M)	276.62	15.24
Payoff Ratio	1.49	1.54
Profit Factor	7.74	16.24
Common Sense Ratio	22.68	52.04
CPC Index	10.05	22.79
Tail Ratio	2.93	3.2
Outlier Win Ratio	2.99	8.95
Outlier Loss Ratio	1.36	6.22
MTD	1.11%	0.41%
3M	4.22%	1.2%
6M	9.1%	1.72%
YTD	17.92%	5.26%
1Y	17.85%	6.3%
3Y (ann.)	19.53%	6.86%
5Y (ann.)	19.53%	6.86%
10Y (ann.)	19.53%	6.86%
All-time (ann.)	19.53%	6.86%
Best Day	0.36%	0.33%
Worst Day	-0.3%	-0.02%
Best Month	1.83%	1.23%
Worst Month	-0.06%	-0.4%
Best Year	17.92%	5.26%
Worst Year	-0.06%	0.99%
Avg. Drawdown	-0.09%	-0.4%
Avg. Drawdown Days	3	63
Recovery Factor	59.91	15.74
Ulcer Index	0.0	0.0
Serenity Index	301.03	12.06
Avg. Up Month	1.52%	0.55%
Avg. Down Month	-	-
Win Days	87.04%	91.03%
Win Month	91.67%	91.67%
Win Quarter	80.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.23	-
Alpha	0.19	-
Correlation	-9.56%	-
Treynor Ratio	-78.06%	-