AMGB RUB[Strategy] vs Deposit RUB[Benchmark]

27 Dec, 2024 - 17 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	32.52%	28.69%
CAGR﹪	21.09%	18.7%
Sharpe	1.92	22.98
Prob. Sharpe Ratio	99.55%	99.99%
Smart Sharpe	1.9	22.69
Sortino	3.17	-
Smart Sortino	3.13	-
Sortino/√2	2.24	-
Smart Sortino/√2	2.21	-
Omega	1.43	1.43
Max Drawdown	-6.9%	-
Longest DD Days	-	-
Volatility (ann.)	8.8%	0.64%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	3.06	-
Skew	0.86	11.09
Kurtosis	7.12	146.03
Expected Daily	0.07%	0.06%
Expected Monthly	1.49%	1.34%
Expected Yearly	9.84%	8.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.84%	-0.01%
Expected Shortfall (cVaR)	-0.84%	-0.01%
Max Consecutive Wins	8	429
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.43	-
Gain/Pain (1M)	4.48	-
Payoff Ratio	-	-
Profit Factor	1.43	-
Common Sense Ratio	1.56	-
CPC Index	-	-
Tail Ratio	1.09	2.46
Outlier Win Ratio	2.04	13.19
Outlier Loss Ratio	1.57	-
MTD	0.23%	0.65%
3M	1.52%	3.41%
6M	4.55%	7.19%
YTD	4.63%	6.51%
1Y	18.49%	16.02%
3Y (ann.)	21.09%	18.7%
5Y (ann.)	21.09%	18.7%
10Y (ann.)	21.09%	18.7%
All-time (ann.)	21.09%	18.7%
Best Day	3.97%	0.6%
Worst Day	-1.9%	0.0%
Best Month	6.2%	1.79%
Worst Month	-3.46%	0.65%
Best Year	26.59%	19.38%
Worst Year	0.05%	1.2%
Avg. Drawdown	-1.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.72	-
Ulcer Index	0.02	0.0
Serenity Index	1.62	-
Avg. Up Month	2.21%	1.32%
Avg. Down Month	-	-
Win Days	55.47%	100.0%
Win Month	84.21%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.3	-
Alpha	0.13	-
Correlation	2.17%	-
Treynor Ratio	109.62%	-