AMGB[Strategy] vs RUB Inflation[Benchmark]

27 Dec, 2024 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	26.95%	12.31%
CAGR﹪	15.01%	7.04%
Sharpe	1.31	11.37
Prob. Sharpe Ratio	97.1%	100.0%
Smart Sharpe	1.28	11.09
Sortino	2.04	93.47
Smart Sortino	1.99	91.16
Sortino/√2	1.44	66.09
Smart Sortino/√2	1.41	64.46
Omega	1.27	1.27
Max Drawdown	-9.29%	-0.4%
Longest DD Days	141	64
Volatility (ann.)	9.37%	0.51%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	1.61	17.6
Skew	0.58	8.89
Kurtosis	5.35	112.27
Expected Daily	0.05%	0.02%
Expected Monthly	1.09%	0.53%
Expected Yearly	8.28%	3.95%
Kelly Criterion	17.26%	92.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.92%	-0.03%
Expected Shortfall (cVaR)	-0.92%	-0.03%
Max Consecutive Wins	8	334
Max Consecutive Losses	5	21
Gain/Pain Ratio	0.27	28.99
Gain/Pain (1M)	1.81	28.99
Payoff Ratio	1.23	1.24
Profit Factor	1.27	29.99
Common Sense Ratio	1.27	393.18
CPC Index	0.85	35.58
Tail Ratio	1.0	13.11
Outlier Win Ratio	2.1	33.49
Outlier Loss Ratio	1.68	37.67
MTD	-0.7%	0.17%
3M	-4.2%	1.75%
6M	-1.54%	2.82%
YTD	0.24%	5.43%
1Y	1.83%	7.0%
3Y (ann.)	15.01%	7.04%
5Y (ann.)	15.01%	7.04%
10Y (ann.)	15.01%	7.04%
All-time (ann.)	15.01%	7.04%
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%	-0.4%
Avg. Drawdown Days	18	64
Recovery Factor	2.9	30.79
Ulcer Index	0.03	0.0
Serenity Index	0.9	38.91
Avg. Up Month	2.45%	0.49%
Avg. Down Month	-	-
Win Days	54.29%	95.87%
Win Month	72.73%	95.45%
Win Quarter	87.5%	100.0%
Win Year	100.0%	100.0%
Beta	-0.38	-
Alpha	0.14	-
Correlation	-2.07%	-
Treynor Ratio	-70.49%	-