AMGB RUB[Strategy] vs Deposit RUB[Benchmark]

27 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	32.12%	26.51%
CAGR﹪	23.11%	19.19%
Sharpe	2.02	23.0
Prob. Sharpe Ratio	99.55%	99.99%
Smart Sharpe	2.0	22.76
Sortino	3.35	-
Smart Sortino	3.32	-
Sortino/√2	2.37	-
Smart Sortino/√2	2.35	-
Omega	1.45	1.45
Max Drawdown	-6.9%	-
Longest DD Days	-	-
Volatility (ann.)	9.22%	0.67%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	3.35	-
Skew	0.81	10.84
Kurtosis	6.36	136.76
Expected Daily	0.07%	0.06%
Expected Monthly	1.65%	1.39%
Expected Yearly	9.73%	8.15%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.88%	-0.01%
Expected Shortfall (cVaR)	-0.88%	-0.01%
Max Consecutive Wins	8	384
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.45	-
Gain/Pain (1M)	4.43	-
Payoff Ratio	-	-
Profit Factor	1.45	-
Common Sense Ratio	1.53	-
CPC Index	-	-
Tail Ratio	1.06	2.45
Outlier Win Ratio	2.0	13.09
Outlier Loss Ratio	1.51	-
MTD	1.37%	1.12%
3M	4.81%	3.46%
6M	9.02%	7.52%
YTD	4.32%	4.71%
1Y	24.55%	16.87%
3Y (ann.)	23.11%	19.19%
5Y (ann.)	23.11%	19.19%
10Y (ann.)	23.11%	19.19%
All-time (ann.)	23.11%	19.19%
Best Day	3.97%	0.6%
Worst Day	-1.9%	0.0%
Best Month	6.2%	1.79%
Worst Month	-3.46%	1.12%
Best Year	26.59%	19.38%
Worst Year	0.05%	1.2%
Avg. Drawdown	-1.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.66	-
Ulcer Index	0.03	0.0
Serenity Index	1.53	-
Avg. Up Month	2.5%	1.38%
Avg. Down Month	-	-
Win Days	55.97%	100.0%
Win Month	82.35%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.21	-
Alpha	0.15	-
Correlation	1.56%	-
Treynor Ratio	149.53%	-