AMGL RUB[Strategy] vs Deposit RUB[Benchmark]

15 Jul, 2025 - 26 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	47.17%	17.97%
CAGR﹪	41.42%	15.97%
Sharpe	1.28	52.74
Prob. Sharpe Ratio	92.6%	100.0%
Smart Sharpe	1.21	49.85
Sortino	1.84	-
Smart Sortino	1.74	-
Sortino/√2	1.3	-
Smart Sortino/√2	1.23	-
Omega	1.26	1.26
Max Drawdown	-28.26%	-
Longest DD Days	-	-
Volatility (ann.)	24.91%	0.23%
R^2	0.01	0.01
Information Ratio	0.05	0.05
Calmar	1.47	-
Skew	-0.53	1.82
Kurtosis	4.05	5.33
Expected Daily	0.11%	0.05%
Expected Monthly	2.8%	1.19%
Expected Yearly	21.31%	8.61%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.45%	-0.02%
Expected Shortfall (cVaR)	-2.45%	-0.02%
Max Consecutive Wins	5	338
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.26	-
Gain/Pain (1M)	1.67	-
Payoff Ratio	-	-
Profit Factor	1.26	-
Common Sense Ratio	1.28	-
CPC Index	-	-
Tail Ratio	1.02	1.88
Outlier Win Ratio	1.92	43.25
Outlier Loss Ratio	1.68	-
MTD	20.29%	1.07%
3M	16.14%	3.48%
6M	-4.94%	6.84%
YTD	12.19%	9.25%
1Y	42.64%	15.28%
3Y (ann.)	41.42%	15.97%
5Y (ann.)	41.42%	15.97%
10Y (ann.)	41.42%	15.97%
All-time (ann.)	41.42%	15.97%
Best Day	5.23%	0.1%
Worst Day	-8.94%	0.0%
Best Month	20.29%	1.31%
Worst Month	-9.18%	1.06%
Best Year	31.18%	9.25%
Worst Year	12.19%	7.98%
Avg. Drawdown	-3.58%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.67	-
Ulcer Index	0.13	0.0
Serenity Index	0.23	-
Avg. Up Month	7.01%	1.23%
Avg. Down Month	-	-
Win Days	54.6%	100.0%
Win Month	71.43%	100.0%
Win Quarter	80.0%	100.0%
Win Year	100.0%	100.0%
Beta	8.22	-
Alpha	-0.69	-
Correlation	7.69%	-
Treynor Ratio	5.74%	-