AMFL RUB[Strategy] vs Deposit RUB[Benchmark]

27 Dec, 2024 - 29 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	81.0%	96.0%
Cumulative Return	1.57%	3.02%
CAGR﹪	18.77%	38.92%
Sharpe	5.77	14.66
Prob. Sharpe Ratio	98.29%	-
Smart Sharpe	4.36	11.07
Sortino	17.42	-
Smart Sortino	13.16	-
Sortino/√2	12.32	-
Smart Sortino/√2	9.31	-
Omega	3.73	3.73
Max Drawdown	-0.26%	-
Longest DD Days	-	-
Volatility (ann.)	3.24%	2.44%
R^2	0.08	0.08
Information Ratio	-0.31	-0.31
Calmar	70.91	-
Skew	1.12	2.85
Kurtosis	0.86	7.18
Expected Daily	0.07%	0.14%
Expected Monthly	0.78%	1.5%
Expected Yearly	0.78%	1.5%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.26%	-0.11%
Expected Shortfall (cVaR)	-0.26%	-0.11%
Max Consecutive Wins	3	20
Max Consecutive Losses	1	0
Gain/Pain Ratio	2.73	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.73	-
Common Sense Ratio	15.8	-
CPC Index	-	-
Tail Ratio	4.23	6.06
Outlier Win Ratio	4.03	4.04
Outlier Loss Ratio	1.11	-
MTD	1.06%	1.79%
3M	1.57%	3.02%
6M	1.57%	3.02%
YTD	1.06%	1.79%
1Y	1.57%	3.02%
3Y (ann.)	18.77%	38.92%
5Y (ann.)	18.77%	38.92%
10Y (ann.)	18.77%	38.92%
All-time (ann.)	18.77%	38.92%
Best Day	0.58%	0.6%
Worst Day	-0.26%	0.0%
Best Month	1.06%	1.79%
Worst Month	0.5%	1.2%
Best Year	1.06%	1.79%
Worst Year	0.5%	1.2%
Avg. Drawdown	-0.11%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.92	-
Ulcer Index	0.0	0.0
Serenity Index	17.23	-
Avg. Up Month	0.78%	1.5%
Avg. Down Month	-	-
Win Days	64.71%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.39	-
Alpha	0.05	-
Correlation	29.15%	-
Treynor Ratio	4.04%	-