AMGL RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

22 Jul, 2025 - 3 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	97.0%
Cumulative Return	21.9%	22.33%
CAGR﹪	100.35%	102.85%
Sharpe	3.06	2.95
Prob. Sharpe Ratio	89.18%	87.34%
Smart Sharpe	2.67	2.57
Sortino	5.09	4.61
Smart Sortino	4.44	4.03
Sortino/√2	3.6	3.26
Smart Sortino/√2	3.14	2.85
Omega	1.71	1.71
Max Drawdown	-10.72%	-10.02%
Longest DD Days	13	28
Volatility (ann.)	19.93%	21.17%
R^2	0.74	0.74
Information Ratio	-0.01	-0.01
Calmar	9.36	10.26
Skew	-0.03	-0.29
Kurtosis	1.98	0.8
Expected Daily	0.26%	0.27%
Expected Monthly	4.04%	4.11%
Expected Yearly	21.9%	22.33%
Kelly Criterion	19.39%	30.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.8%	-1.92%
Expected Shortfall (cVaR)	-1.8%	-1.92%
Max Consecutive Wins	4	12
Max Consecutive Losses	3	3
Gain/Pain Ratio	0.81	0.73
Gain/Pain (1M)	21.41	20.87
Payoff Ratio	1.23	1.06
Profit Factor	1.81	1.73
Common Sense Ratio	2.87	2.09
CPC Index	1.24	1.18
Tail Ratio	1.58	1.21
Outlier Win Ratio	3.07	3.21
Outlier Loss Ratio	3.85	2.74
MTD	-0.08%	0.11%
3M	21.19%	22.33%
6M	21.9%	22.33%
YTD	21.9%	22.33%
1Y	21.9%	22.33%
3Y (ann.)	100.35%	102.85%
5Y (ann.)	100.35%	102.85%
10Y (ann.)	100.35%	102.85%
All-time (ann.)	100.35%	102.85%
Best Day	4.31%	3.56%
Worst Day	-3.92%	-3.23%
Best Month	13.62%	14.03%
Worst Month	-0.88%	-1.04%
Best Year	21.9%	22.33%
Worst Year	21.9%	22.33%
Avg. Drawdown	-1.55%	-2.95%
Avg. Drawdown Days	5	10
Recovery Factor	2.04	2.23
Ulcer Index	0.03	0.03
Serenity Index	1.14	1.31
Avg. Up Month	7.26%	7.39%
Avg. Down Month	-0.88%	-1.04%
Win Days	55.56%	64.38%
Win Month	60.0%	80.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.81	-
Alpha	0.12	-
Correlation	86.25%	-
Treynor Ratio	18.35%	-