MONY[Strategy] vs RUB Inflation[Benchmark]

26 Dec, 2024 - 14 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	15.86%	4.34%
CAGR﹪	20.21%	5.45%
Sharpe	12.35	7.34
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.65	5.74
Sortino	30.79	34.07
Smart Sortino	24.07	26.63
Sortino/√2	21.77	24.09
Smart Sortino/√2	17.02	18.83
Omega	8.75	8.75
Max Drawdown	-0.27%	-1.01%
Longest DD Days	7	74
Volatility (ann.)	1.48%	0.72%
R^2	0.01	0.01
Information Ratio	0.48	0.48
Calmar	75.32	5.42
Skew	-0.08	4.6
Kurtosis	1.71	29.78
Expected Daily	0.07%	0.02%
Expected Monthly	1.35%	0.39%
Expected Yearly	7.64%	2.15%
Kelly Criterion	75.84%	58.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.08%	-0.05%
Expected Shortfall (cVaR)	-0.08%	-0.05%
Max Consecutive Wins	23	149
Max Consecutive Losses	2	53
Gain/Pain Ratio	7.75	4.2
Gain/Pain (1M)	247.95	4.2
Payoff Ratio	1.06	1.75
Profit Factor	8.75	5.2
Common Sense Ratio	27.54	16.66
CPC Index	8.12	6.72
Tail Ratio	3.15	3.2
Outlier Win Ratio	3.44	9.07
Outlier Loss Ratio	1.31	5.7
MTD	1.04%	-0.19%
3M	4.52%	-0.66%
6M	10.09%	0.42%
YTD	15.93%	3.32%
1Y	15.86%	4.34%
3Y (ann.)	20.21%	5.45%
5Y (ann.)	20.21%	5.45%
10Y (ann.)	20.21%	5.45%
All-time (ann.)	20.21%	5.45%
Best Day	0.36%	0.33%
Worst Day	-0.27%	-0.02%
Best Month	1.83%	1.23%
Worst Month	-0.06%	-0.42%
Best Year	15.93%	3.32%
Worst Year	-0.06%	0.99%
Avg. Drawdown	-0.09%	-1.01%
Avg. Drawdown Days	2	74
Recovery Factor	59.13	4.31
Ulcer Index	0.0	0.0
Serenity Index	425.69	1.12
Avg. Up Month	1.61%	0.61%
Avg. Down Month	-	-
Win Days	87.57%	73.76%
Win Month	90.91%	72.73%
Win Quarter	80.0%	60.0%
Win Year	50.0%	100.0%
Beta	-0.2	-
Alpha	0.19	-
Correlation	-9.64%	-
Treynor Ratio	-79.76%	-