AMGB RUB[Strategy] vs Deposit RUB[Benchmark]

27 Dec, 2024 - 21 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	27.25%	33.42%
CAGR﹪	14.91%	18.09%
Sharpe	1.31	23.48
Prob. Sharpe Ratio	97.18%	100.0%
Smart Sharpe	1.27	22.8
Sortino	2.04	-
Smart Sortino	1.98	-
Sortino/√2	1.44	-
Smart Sortino/√2	1.4	-
Omega	1.27	1.27
Max Drawdown	-9.29%	-
Longest DD Days	-	-
Volatility (ann.)	9.33%	0.6%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	1.6	-
Skew	0.58	11.64
Kurtosis	5.37	165.51
Expected Daily	0.05%	0.06%
Expected Monthly	1.1%	1.32%
Expected Yearly	8.36%	10.09%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.92%	-0.01%
Expected Shortfall (cVaR)	-0.92%	-0.01%
Max Consecutive Wins	8	516
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.27	-
Gain/Pain (1M)	1.86	-
Payoff Ratio	-	-
Profit Factor	1.27	-
Common Sense Ratio	1.28	-
CPC Index	-	-
Tail Ratio	1.01	2.58
Outlier Win Ratio	2.13	14.89
Outlier Loss Ratio	1.61	-
MTD	-0.47%	1.08%
3M	-2.88%	3.61%
6M	-2.14%	7.04%
YTD	0.47%	10.43%
1Y	5.09%	15.26%
3Y (ann.)	14.91%	18.09%
5Y (ann.)	14.91%	18.09%
10Y (ann.)	14.91%	18.09%
All-time (ann.)	14.91%	18.09%
Best Day	3.97%	0.6%
Worst Day	-2.28%	0.0%
Best Month	6.2%	1.79%
Worst Month	-5.19%	1.06%
Best Year	26.59%	19.38%
Worst Year	0.05%	1.2%
Avg. Drawdown	-1.42%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.93	-
Ulcer Index	0.03	0.0
Serenity Index	0.89	-
Avg. Up Month	2.4%	1.34%
Avg. Down Month	-	-
Win Days	54.33%	100.0%
Win Month	72.73%	100.0%
Win Quarter	87.5%	100.0%
Win Year	100.0%	100.0%
Beta	0.46	-
Alpha	0.06	-
Correlation	2.95%	-
Treynor Ratio	59.27%	-