MONY[Strategy] vs RUB Inflation[Benchmark]

26 Dec, 2024 - 23 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	20.59%	6.88%
CAGR﹪	18.99%	6.37%
Sharpe	10.16	10.61
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.92	7.22
Sortino	21.53	73.1
Smart Sortino	14.65	49.75
Sortino/√2	15.22	51.69
Smart Sortino/√2	10.36	35.18
Omega	5.96	5.96
Max Drawdown	-0.38%	-0.4%
Longest DD Days	11	63
Volatility (ann.)	1.7%	0.58%
R^2	0.01	0.01
Information Ratio	0.38	0.38
Calmar	50.6	15.93
Skew	-0.03	6.39
Kurtosis	4.06	51.75
Expected Daily	0.07%	0.02%
Expected Monthly	1.35%	0.48%
Expected Yearly	6.44%	2.24%
Kelly Criterion	75.35%	86.89%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.11%	-0.04%
Expected Shortfall (cVaR)	-0.11%	-0.04%
Max Consecutive Wins	23	149
Max Consecutive Losses	2	21
Gain/Pain Ratio	4.96	16.6
Gain/Pain (1M)	315.31	16.6
Payoff Ratio	1.56	1.43
Profit Factor	5.96	17.6
Common Sense Ratio	16.66	56.4
CPC Index	7.9	23.28
Tail Ratio	2.79	3.2
Outlier Win Ratio	2.43	8.31
Outlier Loss Ratio	1.44	7.48
MTD	0.91%	0.22%
3M	3.94%	1.11%
6M	8.26%	1.58%
YTD	0.91%	0.22%
1Y	19.68%	4.99%
3Y (ann.)	18.99%	6.37%
5Y (ann.)	18.99%	6.37%
10Y (ann.)	18.99%	6.37%
All-time (ann.)	18.99%	6.37%
Best Day	0.59%	0.33%
Worst Day	-0.38%	-0.02%
Best Month	1.83%	1.23%
Worst Month	-0.06%	-0.4%
Best Year	19.57%	5.6%
Worst Year	-0.06%	0.22%
Avg. Drawdown	-0.11%	-0.4%
Avg. Drawdown Days	3	63
Recovery Factor	54.85	17.19
Ulcer Index	0.0	0.0
Serenity Index	303.76	14.36
Avg. Up Month	1.46%	0.51%
Avg. Down Month	-	-
Win Days	84.98%	92.28%
Win Month	92.86%	92.86%
Win Quarter	83.33%	100.0%
Win Year	66.67%	100.0%
Beta	-0.22	-
Alpha	0.19	-
Correlation	-7.32%	-
Treynor Ratio	-95.54%	-