AMGB RUB[Strategy] vs Deposit RUB[Benchmark]

27 Dec, 2024 - 19 May, 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%	27.86%
CAGR﹪	22.16%	19.31%
Sharpe	1.98	23.52
Prob. Sharpe Ratio	99.53%	99.99%
Smart Sharpe	1.96	23.26
Sortino	3.27	-
Smart Sortino	3.24	-
Sortino/√2	2.32	-
Smart Sortino/√2	2.29	-
Omega	1.44	1.44
Max Drawdown	-6.9%	-
Longest DD Days	-	-
Volatility (ann.)	9.06%	0.66%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	3.21	-
Skew	0.83	11.0
Kurtosis	6.63	141.49
Expected Daily	0.07%	0.06%
Expected Monthly	1.56%	1.37%
Expected Yearly	9.73%	8.54%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.87%	-0.01%
Expected Shortfall (cVaR)	-0.87%	-0.01%
Max Consecutive Wins	8	400
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.44	-
Gain/Pain (1M)	4.43	-
Payoff Ratio	-	-
Profit Factor	1.44	-
Common Sense Ratio	1.52	-
CPC Index	-	-
Tail Ratio	1.06	2.51
Outlier Win Ratio	2.01	12.99
Outlier Loss Ratio	1.52	-
MTD	0.15%	1.09%
3M	2.55%	3.83%
6M	5.64%	7.64%
YTD	4.32%	5.83%
1Y	24.32%	17.01%
3Y (ann.)	22.16%	19.31%
5Y (ann.)	22.16%	19.31%
10Y (ann.)	22.16%	19.31%
All-time (ann.)	22.16%	19.31%
Best Day	3.97%	0.6%
Worst Day	-1.9%	0.0%
Best Month	6.2%	1.79%
Worst Month	-3.46%	1.09%
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	1.55	-
Avg. Up Month	2.34%	1.36%
Avg. Down Month	-	-
Win Days	55.31%	100.0%
Win Month	83.33%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.21	-
Alpha	0.15	-
Correlation	1.53%	-
Treynor Ratio	151.99%	-