AMGB[Strategy] vs RUB Inflation[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	32.32%	10.82%
CAGR﹪	22.29%	7.66%
Sharpe	1.99	11.61
Prob. Sharpe Ratio	99.55%	100.0%
Smart Sharpe	1.97	11.48
Sortino	3.29	93.18
Smart Sortino	3.26	92.16
Sortino/√2	2.33	65.89
Smart Sortino/√2	2.3	65.17
Omega	1.44	1.44
Max Drawdown	-6.9%	-0.4%
Longest DD Days	97	64
Volatility (ann.)	9.06%	0.56%
R^2	0.0	0.0
Information Ratio	0.08	0.08
Calmar	3.23	19.16
Skew	0.83	8.28
Kurtosis	6.63	94.72
Expected Daily	0.07%	0.03%
Expected Monthly	1.57%	0.57%
Expected Yearly	9.78%	3.48%
Kelly Criterion	19.83%	90.99%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.87%	-0.03%
Expected Shortfall (cVaR)	-0.87%	-0.03%
Max Consecutive Wins	8	226
Max Consecutive Losses	4	21
Gain/Pain Ratio	0.44	25.65
Gain/Pain (1M)	4.46	25.65
Payoff Ratio	1.24	1.4
Profit Factor	1.44	26.65
Common Sense Ratio	1.52	106.9
CPC Index	0.99	35.24
Tail Ratio	1.06	4.01
Outlier Win Ratio	2.0	28.08
Outlier Loss Ratio	1.58	33.18
MTD	0.3%	0.36%
3M	2.7%	1.93%
6M	5.8%	4.51%
YTD	4.47%	4.03%
1Y	24.51%	6.28%
3Y (ann.)	22.29%	7.66%
5Y (ann.)	22.29%	7.66%
10Y (ann.)	22.29%	7.66%
All-time (ann.)	22.29%	7.66%
Best Day	3.97%	0.44%
Worst Day	-1.9%	-0.02%
Best Month	6.2%	1.62%
Worst Month	-3.46%	-0.4%
Best Year	26.59%	5.6%
Worst Year	0.05%	0.88%
Avg. Drawdown	-1.15%	-0.4%
Avg. Drawdown Days	14	64
Recovery Factor	4.69	27.06
Ulcer Index	0.03	0.0
Serenity Index	1.56	29.33
Avg. Up Month	2.39%	0.54%
Avg. Down Month	-	-
Win Days	55.59%	94.75%
Win Month	83.33%	94.44%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.41	-
Alpha	0.21	-
Correlation	-2.52%	-
Treynor Ratio	-78.63%	-