MONY[Strategy] vs RUB Inflation[Benchmark]

26 Dec, 2024 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	25.54%	10.55%
CAGR﹪	18.46%	7.76%
Sharpe	7.72	13.01
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.68	9.57
Sortino	14.27	95.86
Smart Sortino	10.5	70.52
Sortino/√2	10.09	67.78
Smart Sortino/√2	7.42	49.87
Omega	3.92	3.92
Max Drawdown	-0.49%	-0.4%
Longest DD Days	11	63
Volatility (ann.)	2.06%	0.54%
R^2	0.0	0.0
Information Ratio	0.26	0.26
Calmar	37.51	19.39
Skew	-0.26	5.9
Kurtosis	3.16	49.87
Expected Daily	0.06%	0.03%
Expected Monthly	1.35%	0.59%
Expected Yearly	7.88%	3.4%
Kelly Criterion	69.85%	90.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.15%	-0.03%
Expected Shortfall (cVaR)	-0.15%	-0.03%
Max Consecutive Wins	23	190
Max Consecutive Losses	2	21
Gain/Pain Ratio	2.92	25.04
Gain/Pain (1M)	383.29	25.04
Payoff Ratio	1.7	1.55
Profit Factor	3.92	26.04
Common Sense Ratio	5.66	104.44
CPC Index	5.39	37.96
Tail Ratio	1.45	4.01
Outlier Win Ratio	2.5	8.36
Outlier Loss Ratio	1.47	9.54
MTD	1.28%	0.67%
3M	3.81%	2.01%
6M	7.87%	4.48%
YTD	5.05%	3.66%
1Y	18.03%	6.17%
3Y (ann.)	18.46%	7.76%
5Y (ann.)	18.46%	7.76%
10Y (ann.)	18.46%	7.76%
All-time (ann.)	18.46%	7.76%
Best Day	0.59%	0.33%
Worst Day	-0.43%	-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	-0.15%	-0.4%
Avg. Drawdown Days	3	63
Recovery Factor	51.89	26.38
Ulcer Index	0.0	0.0
Serenity Index	177.67	27.39
Avg. Up Month	1.44%	0.63%
Avg. Down Month	-	-
Win Days	81.02%	94.17%
Win Month	94.12%	94.12%
Win Quarter	85.71%	100.0%
Win Year	66.67%	100.0%
Beta	-0.2	-
Alpha	0.17	-
Correlation	-5.17%	-
Treynor Ratio	-129.16%	-