AMGB RUB[Strategy] vs Deposit RUB[Benchmark]

27 Dec, 2024 - 6 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	88.0%	100.0%
Cumulative Return	10.05%	10.42%
CAGR﹪	24.25%	25.2%
Sharpe	1.8	19.53
Prob. Sharpe Ratio	89.94%	100.0%
Smart Sharpe	1.73	18.73
Sortino	3.0	-
Smart Sortino	2.88	-
Sortino/√2	2.12	-
Smart Sortino/√2	2.04	-
Omega	1.39	1.39
Max Drawdown	-6.76%	-
Longest DD Days	-	-
Volatility (ann.)	11.95%	1.1%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	3.59	-
Skew	0.95	7.09
Kurtosis	5.39	51.36
Expected Daily	0.08%	0.09%
Expected Monthly	1.38%	1.43%
Expected Yearly	4.91%	5.08%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.15%	-0.03%
Expected Shortfall (cVaR)	-1.15%	-0.03%
Max Consecutive Wins	8	115
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.39	-
Gain/Pain (1M)	3.93	-
Payoff Ratio	-	-
Profit Factor	1.39	-
Common Sense Ratio	1.51	-
CPC Index	-	-
Tail Ratio	1.09	1.47
Outlier Win Ratio	2.1	11.94
Outlier Loss Ratio	1.26	-
MTD	0.91%	0.31%
3M	5.37%	5.11%
6M	10.05%	10.42%
YTD	10.0%	9.11%
1Y	10.05%	10.42%
3Y (ann.)	24.25%	25.2%
5Y (ann.)	24.25%	25.2%
10Y (ann.)	24.25%	25.2%
All-time (ann.)	24.25%	25.2%
Best Day	3.97%	0.6%
Worst Day	-1.82%	0.0%
Best Month	5.74%	1.79%
Worst Month	-2.5%	0.31%
Best Year	10.0%	9.11%
Worst Year	0.05%	1.2%
Avg. Drawdown	-1.92%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.49	-
Ulcer Index	0.03	0.0
Serenity Index	0.49	-
Avg. Up Month	2.06%	1.37%
Avg. Down Month	-	-
Win Days	56.86%	100.0%
Win Month	85.71%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.09	-
Alpha	0.24	-
Correlation	-0.86%	-
Treynor Ratio	-107.39%	-