AMGB RUB[Strategy] vs Deposit RUB[Benchmark]

27 Dec, 2024 - 30 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	22.08%	13.37%
CAGR﹪	40.31%	23.75%
Sharpe	3.04	21.42
Prob. Sharpe Ratio	99.38%	99.99%
Smart Sharpe	2.89	20.42
Sortino	5.25	-
Smart Sortino	5.01	-
Sortino/√2	3.71	-
Smart Sortino/√2	3.54	-
Omega	1.73	1.73
Max Drawdown	-6.76%	-
Longest DD Days	-	-
Volatility (ann.)	11.03%	0.97%
R^2	0.0	0.0
Information Ratio	0.07	0.07
Calmar	5.97	-
Skew	0.8	8.14
Kurtosis	5.57	68.22
Expected Daily	0.13%	0.08%
Expected Monthly	2.53%	1.58%
Expected Yearly	10.49%	6.48%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.01%	-0.02%
Expected Shortfall (cVaR)	-1.01%	-0.02%
Max Consecutive Wins	8	152
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.73	-
Gain/Pain (1M)	8.07	-
Payoff Ratio	-	-
Profit Factor	1.73	-
Common Sense Ratio	1.82	-
CPC Index	-	-
Tail Ratio	1.05	1.47
Outlier Win Ratio	1.83	10.84
Outlier Loss Ratio	1.36	-
MTD	5.41%	1.44%
3M	15.09%	4.73%
6M	24.61%	10.25%
YTD	22.02%	12.03%
1Y	22.08%	13.37%
3Y (ann.)	40.31%	23.75%
5Y (ann.)	40.31%	23.75%
10Y (ann.)	40.31%	23.75%
All-time (ann.)	40.31%	23.75%
Best Day	3.97%	0.6%
Worst Day	-1.82%	0.0%
Best Month	6.2%	1.79%
Worst Month	-2.5%	1.2%
Best Year	22.02%	12.03%
Worst Year	0.05%	1.2%
Avg. Drawdown	-1.18%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.27	-
Ulcer Index	0.03	0.0
Serenity Index	1.25	-
Avg. Up Month	3.29%	1.55%
Avg. Down Month	-	-
Win Days	60.87%	100.0%
Win Month	87.5%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.23	-
Alpha	0.38	-
Correlation	-1.99%	-
Treynor Ratio	-97.19%	-