AMGB[Strategy] vs RUB Inflation[Benchmark]

27 Dec, 2024 - 1 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	28.14%	12.33%
CAGR﹪	14.37%	6.5%
Sharpe	1.28	10.68
Prob. Sharpe Ratio	97.38%	100.0%
Smart Sharpe	1.24	10.3
Sortino	1.99	88.19
Smart Sortino	1.92	85.05
Sortino/√2	1.41	62.36
Smart Sortino/√2	1.36	60.14
Omega	1.26	1.26
Max Drawdown	-9.29%	-0.4%
Longest DD Days	192	64
Volatility (ann.)	9.09%	0.49%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	1.55	16.25
Skew	0.58	8.92
Kurtosis	5.64	115.62
Expected Daily	0.04%	0.02%
Expected Monthly	1.04%	0.49%
Expected Yearly	8.62%	3.95%
Kelly Criterion	8.99%	88.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.9%	-0.03%
Expected Shortfall (cVaR)	-0.9%	-0.03%
Max Consecutive Wins	8	297
Max Consecutive Losses	5	27
Gain/Pain Ratio	0.26	24.19
Gain/Pain (1M)	1.73	24.19
Payoff Ratio	1.01	2.66
Profit Factor	1.26	25.19
Common Sense Ratio	1.27	519.7
CPC Index	0.69	61.11
Tail Ratio	1.0	20.63
Outlier Win Ratio	2.15	34.34
Outlier Loss Ratio	1.69	70.47
MTD	0.16%	0.01%
3M	-1.07%	0.66%
6M	-2.86%	2.26%
YTD	1.18%	5.45%
1Y	5.57%	6.23%
3Y (ann.)	14.37%	6.5%
5Y (ann.)	14.37%	6.5%
10Y (ann.)	14.37%	6.5%
All-time (ann.)	14.37%	6.5%
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	0.05%	0.88%
Avg. Drawdown	-1.42%	-0.24%
Avg. Drawdown Days	20	50
Recovery Factor	3.03	30.83
Ulcer Index	0.03	0.0
Serenity Index	0.78	40.28
Avg. Up Month	2.29%	0.46%
Avg. Down Month	-1.3%	-0.08%
Win Days	54.22%	91.35%
Win Month	75.0%	91.67%
Win Quarter	88.89%	100.0%
Win Year	100.0%	100.0%
Beta	-0.24	-
Alpha	0.13	-
Correlation	-1.31%	-
Treynor Ratio	-117.02%	-