MONY[Strategy] vs RUB Inflation[Benchmark]

26 Dec, 2024 - 29 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	82.0%	96.0%
Cumulative Return	1.12%	7.13%
CAGR﹪	12.75%	109.4%
Sharpe	5.75	71.07
Prob. Sharpe Ratio	95.27%	96.55%
Smart Sharpe	4.74	58.54
Sortino	11.0	-
Smart Sortino	9.06	-
Sortino/√2	7.78	-
Smart Sortino/√2	6.41	-
Omega	2.94	2.94
Max Drawdown	-0.27%	-
Longest DD Days	-	-
Volatility (ann.)	2.23%	1.11%
R^2	0.01	0.01
Information Ratio	-1.73	-1.73
Calmar	47.51	-
Skew	0.07	-4.69
Kurtosis	1.36	22.0
Expected Daily	0.05%	0.31%
Expected Monthly	0.56%	3.5%
Expected Yearly	0.56%	3.5%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.2%
Expected Shortfall (cVaR)	-0.18%	-0.2%
Max Consecutive Wins	4	21
Max Consecutive Losses	1	0
Gain/Pain Ratio	1.94	-
Gain/Pain (1M)	18.84	-
Payoff Ratio	-	-
Profit Factor	2.94	-
Common Sense Ratio	4.8	-
CPC Index	-	-
Tail Ratio	1.63	1.0
Outlier Win Ratio	3.59	1.08
Outlier Loss Ratio	0.64	-
MTD	1.18%	6.08%
3M	1.12%	7.13%
6M	1.12%	7.13%
YTD	1.18%	6.08%
1Y	1.12%	7.13%
3Y (ann.)	12.75%	109.4%
5Y (ann.)	12.75%	109.4%
10Y (ann.)	12.75%	109.4%
All-time (ann.)	12.75%	109.4%
Best Day	0.36%	0.33%
Worst Day	-0.27%	0.0%
Best Month	1.18%	6.08%
Worst Month	-0.06%	0.99%
Best Year	1.18%	6.08%
Worst Year	-0.06%	0.99%
Avg. Drawdown	-0.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.19	-
Ulcer Index	0.0	0.0
Serenity Index	12.03	-
Avg. Up Month	1.18%	6.08%
Avg. Down Month	-	-
Win Days	77.78%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	0.16	-
Alpha	-0.0	-
Correlation	8.09%	-
Treynor Ratio	6.92%	-