AMGB[Strategy] vs RUB Inflation[Benchmark]

27 Dec, 2024 - 28 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	24.37%	6.18%
CAGR﹪	26.73%	6.73%
Sharpe	2.1	9.11
Prob. Sharpe Ratio	98.56%	100.0%
Smart Sharpe	2.1	9.09
Sortino	3.44	68.35
Smart Sortino	3.44	68.25
Sortino/√2	2.43	48.33
Smart Sortino/√2	2.43	48.26
Omega	1.45	1.45
Max Drawdown	-6.9%	-0.4%
Longest DD Days	80	64
Volatility (ann.)	10.58%	0.65%
R^2	0.0	0.0
Information Ratio	0.1	0.1
Calmar	3.88	16.83
Skew	0.7	8.09
Kurtosis	4.92	80.11
Expected Daily	0.09%	0.02%
Expected Monthly	1.83%	0.5%
Expected Yearly	11.52%	3.04%
Kelly Criterion	29.09%	85.75%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.01%	-0.04%
Expected Shortfall (cVaR)	-1.01%	-0.04%
Max Consecutive Wins	8	153
Max Consecutive Losses	4	21
Gain/Pain Ratio	0.45	14.97
Gain/Pain (1M)	3.75	14.97
Payoff Ratio	1.49	1.4
Profit Factor	1.45	15.97
Common Sense Ratio	1.36	51.18
CPC Index	1.24	20.45
Tail Ratio	0.93	3.2
Outlier Win Ratio	1.77	29.79
Outlier Loss Ratio	1.47	38.92
MTD	2.46%	0.41%
3M	0.16%	1.22%
6M	16.81%	1.68%
YTD	24.3%	5.26%
1Y	24.37%	6.18%
3Y (ann.)	26.73%	6.73%
5Y (ann.)	26.73%	6.73%
10Y (ann.)	26.73%	6.73%
All-time (ann.)	26.73%	6.73%
Best Day	3.97%	0.44%
Worst Day	-1.9%	-0.02%
Best Month	6.2%	1.23%
Worst Month	-3.46%	-0.4%
Best Year	24.3%	5.26%
Worst Year	0.05%	0.88%
Avg. Drawdown	-1.36%	-0.4%
Avg. Drawdown Days	13	64
Recovery Factor	3.53	15.45
Ulcer Index	0.03	0.0
Serenity Index	0.94	12.26
Avg. Up Month	2.97%	0.54%
Avg. Down Month	-	-
Win Days	57.58%	91.7%
Win Month	83.33%	91.67%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.24	-
Alpha	0.24	-
Correlation	-1.49%	-
Treynor Ratio	-101.27%	-