MONY[Strategy] vs RUB Inflation[Benchmark]

26 Dec, 2024 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	30.51%	12.5%
CAGR﹪	17.81%	7.52%
Sharpe	5.03	13.16
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.38	8.83
Sortino	8.3	100.05
Smart Sortino	5.57	67.12
Sortino/√2	5.87	70.75
Smart Sortino/√2	3.94	47.46
Omega	2.75	2.75
Max Drawdown	-1.7%	-0.4%
Longest DD Days	16	63
Volatility (ann.)	2.93%	0.49%
R^2	0.0	0.0
Information Ratio	0.17	0.17
Calmar	10.5	18.8
Skew	-0.14	6.17
Kurtosis	24.24	57.4
Expected Daily	0.06%	0.03%
Expected Monthly	1.28%	0.56%
Expected Yearly	9.28%	4.0%
Kelly Criterion	63.95%	92.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.24%	-0.03%
Expected Shortfall (cVaR)	-0.24%	-0.03%
Max Consecutive Wins	23	286
Max Consecutive Losses	2	21
Gain/Pain Ratio	1.75	29.4
Gain/Pain (1M)	449.45	29.4
Payoff Ratio	1.95	1.44
Profit Factor	2.75	30.4
Common Sense Ratio	3.67	499.05
CPC Index	4.08	41.72
Tail Ratio	1.33	16.42
Outlier Win Ratio	2.64	11.13
Outlier Loss Ratio	1.38	10.94
MTD	0.62%	0.28%
3M	3.58%	2.25%
6M	7.28%	3.54%
YTD	9.21%	5.49%
1Y	16.11%	6.86%
3Y (ann.)	17.81%	7.52%
5Y (ann.)	17.81%	7.52%
10Y (ann.)	17.81%	7.52%
All-time (ann.)	17.81%	7.52%
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%	-0.4%
Avg. Drawdown Days	4	63
Recovery Factor	17.99	31.25
Ulcer Index	0.0	0.0
Serenity Index	39.36	38.05
Avg. Up Month	1.34%	0.59%
Avg. Down Month	-	-
Win Days	76.18%	95.39%
Win Month	95.24%	95.24%
Win Quarter	87.5%	100.0%
Win Year	66.67%	100.0%
Beta	-0.16	-
Alpha	0.16	-
Correlation	-2.69%	-
Treynor Ratio	-191.37%	-