AMGL RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

30 Jul, 2025 - 25 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	83.0%
Cumulative Return	46.37%	46.29%
CAGR﹪	42.7%	42.63%
Sharpe	1.02	0.99
Prob. Sharpe Ratio	57.6%	56.29%
Smart Sharpe	0.93	0.9
Sortino	1.45	1.46
Smart Sortino	1.32	1.33
Sortino/√2	1.02	1.03
Smart Sortino/√2	0.93	0.94
Omega	1.2	1.2
Max Drawdown	-28.26%	-29.75%
Longest DD Days	176	175
Volatility (ann.)	25.24%	26.02%
R^2	0.66	0.66
Information Ratio	-0.0	-0.0
Calmar	1.51	1.43
Skew	-0.53	-0.01
Kurtosis	3.89	2.67
Expected Daily	0.12%	0.12%
Expected Monthly	2.76%	2.75%
Expected Yearly	20.98%	20.95%
Kelly Criterion	7.82%	11.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.49%	-2.57%
Expected Shortfall (cVaR)	-2.49%	-2.57%
Max Consecutive Wins	5	12
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.26	0.26
Gain/Pain (1M)	1.62	1.77
Payoff Ratio	0.97	1.03
Profit Factor	1.26	1.26
Common Sense Ratio	1.27	1.29
CPC Index	0.67	0.71
Tail Ratio	1.01	1.02
Outlier Win Ratio	3.69	4.18
Outlier Loss Ratio	3.52	3.03
MTD	20.94%	20.93%
3M	17.05%	19.91%
6M	-2.04%	-1.78%
YTD	12.79%	12.92%
1Y	42.45%	43.67%
3Y (ann.)	42.7%	42.63%
5Y (ann.)	42.7%	42.63%
10Y (ann.)	42.7%	42.63%
All-time (ann.)	42.7%	42.63%
Best Day	5.23%	7.05%
Worst Day	-8.94%	-6.28%
Best Month	20.94%	20.93%
Worst Month	-9.18%	-8.46%
Best Year	29.76%	29.55%
Worst Year	12.79%	12.92%
Avg. Drawdown	-3.54%	-4.4%
Avg. Drawdown Days	18	22
Recovery Factor	1.64	1.56
Ulcer Index	0.13	0.14
Serenity Index	0.19	0.19
Avg. Up Month	7.78%	7.54%
Avg. Down Month	-5.31%	-5.0%
Win Days	54.6%	55.19%
Win Month	64.29%	64.29%
Win Quarter	80.0%	80.0%
Win Year	100.0%	100.0%
Beta	0.79	-
Alpha	0.07	-
Correlation	81.42%	-
Treynor Ratio	49.83%	-