AMGL RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

30 Jul, 2025 - 11 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	86.0%
Cumulative Return	32.71%	31.65%
CAGR﹪	43.68%	42.21%
Sharpe	1.09	1.03
Prob. Sharpe Ratio	58.85%	56.95%
Smart Sharpe	0.98	0.94
Sortino	1.52	1.51
Smart Sortino	1.38	1.36
Sortino/√2	1.08	1.07
Smart Sortino/√2	0.98	0.96
Omega	1.22	1.22
Max Drawdown	-17.53%	-18.81%
Longest DD Days	76	76
Volatility (ann.)	25.27%	25.81%
R^2	0.66	0.66
Information Ratio	0.0	0.0
Calmar	2.49	2.24
Skew	-0.79	-0.2
Kurtosis	5.48	3.15
Expected Daily	0.12%	0.12%
Expected Monthly	2.61%	2.53%
Expected Yearly	15.2%	14.74%
Kelly Criterion	8.95%	12.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-2.54%
Expected Shortfall (cVaR)	-2.48%	-2.54%
Max Consecutive Wins	5	12
Max Consecutive Losses	4	5
Gain/Pain Ratio	0.28	0.27
Gain/Pain (1M)	1.84	1.91
Payoff Ratio	0.98	1.03
Profit Factor	1.28	1.27
Common Sense Ratio	1.39	1.39
CPC Index	0.69	0.73
Tail Ratio	1.08	1.09
Outlier Win Ratio	3.81	4.11
Outlier Loss Ratio	4.08	3.58
MTD	0.3%	0.99%
3M	-10.47%	-10.69%
6M	4.65%	5.25%
YTD	2.27%	1.62%
1Y	32.71%	31.65%
3Y (ann.)	43.68%	42.21%
5Y (ann.)	43.68%	42.21%
10Y (ann.)	43.68%	42.21%
All-time (ann.)	43.68%	42.21%
Best Day	5.23%	7.05%
Worst Day	-8.94%	-6.28%
Best Month	16.05%	14.03%
Worst Month	-9.18%	-8.46%
Best Year	29.76%	29.55%
Worst Year	2.27%	1.62%
Avg. Drawdown	-2.95%	-3.68%
Avg. Drawdown Days	13	15
Recovery Factor	1.87	1.68
Ulcer Index	0.07	0.07
Serenity Index	0.42	0.41
Avg. Up Month	6.05%	5.8%
Avg. Down Month	-5.64%	-5.42%
Win Days	55.05%	55.61%
Win Month	72.73%	72.73%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.79	-
Alpha	0.08	-
Correlation	80.97%	-
Treynor Ratio	32.43%	-