AMGB[Strategy] vs RUB Inflation[Benchmark]

27 Dec, 2024 - 15 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	23.27%	11.51%
CAGR﹪	14.47%	7.29%
Sharpe	1.3	11.28
Prob. Sharpe Ratio	96.23%	100.0%
Smart Sharpe	1.27	11.07
Sortino	2.01	92.66
Smart Sortino	1.98	90.89
Sortino/√2	1.42	65.52
Smart Sortino/√2	1.4	64.27
Omega	1.27	1.27
Max Drawdown	-8.85%	-0.4%
Longest DD Days	97	64
Volatility (ann.)	9.24%	0.53%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	1.64	18.23
Skew	0.56	8.36
Kurtosis	5.98	99.92
Expected Daily	0.05%	0.02%
Expected Monthly	1.05%	0.55%
Expected Yearly	7.22%	3.7%
Kelly Criterion	16.57%	91.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.91%	-0.03%
Expected Shortfall (cVaR)	-0.91%	-0.03%
Max Consecutive Wins	8	281
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.27	27.2
Gain/Pain (1M)	1.63	27.2
Payoff Ratio	1.22	1.3
Profit Factor	1.27	28.2
Common Sense Ratio	1.29	393.01
CPC Index	0.84	34.89
Tail Ratio	1.02	13.94
Outlier Win Ratio	1.96	29.16
Outlier Loss Ratio	1.76	38.87
MTD	-1.67%	0.47%
3M	-5.42%	1.59%
6M	-1.43%	4.2%
YTD	-2.67%	4.68%
1Y	5.08%	6.26%
3Y (ann.)	14.47%	7.29%
5Y (ann.)	14.47%	7.29%
10Y (ann.)	14.47%	7.29%
All-time (ann.)	14.47%	7.29%
Best Day	3.97%	0.44%
Worst Day	-2.28%	-0.02%
Best Month	6.2%	1.62%
Worst Month	-5.19%	-0.4%
Best Year	26.59%	5.6%
Worst Year	-2.67%	0.88%
Avg. Drawdown	-1.4%	-0.4%
Avg. Drawdown Days	16	64
Recovery Factor	2.63	28.78
Ulcer Index	0.03	0.0
Serenity Index	0.92	34.23
Avg. Up Month	2.38%	0.49%
Avg. Down Month	-	-
Win Days	54.09%	95.38%
Win Month	75.0%	95.0%
Win Quarter	75.0%	100.0%
Win Year	66.67%	100.0%
Beta	-0.44	-
Alpha	0.15	-
Correlation	-2.54%	-
Treynor Ratio	-52.96%	-