AMGL RUB[Strategy] vs Deposit RUB[Benchmark]

15 Jul, 2025 - 21 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	31.08%	8.01%
CAGR﹪	86.14%	19.35%
Sharpe	3.22	68.75
Prob. Sharpe Ratio	98.63%	100.0%
Smart Sharpe	2.88	61.62
Sortino	5.5	-
Smart Sortino	4.93	-
Sortino/√2	3.89	-
Smart Sortino/√2	3.49	-
Omega	1.74	1.74
Max Drawdown	-10.72%	-
Longest DD Days	-	-
Volatility (ann.)	18.51%	0.24%
R^2	0.0	0.0
Information Ratio	0.15	0.15
Calmar	8.04	-
Skew	0.1	1.08
Kurtosis	1.83	5.19
Expected Daily	0.23%	0.07%
Expected Monthly	4.61%	1.29%
Expected Yearly	31.08%	8.01%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.68%	-0.04%
Expected Shortfall (cVaR)	-1.68%	-0.04%
Max Consecutive Wins	4	117
Max Consecutive Losses	3	0
Gain/Pain Ratio	0.74	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	1.74	-
Common Sense Ratio	2.82	-
CPC Index	-	-
Tail Ratio	1.62	1.89
Outlier Win Ratio	1.67	24.22
Outlier Loss Ratio	1.58	-
MTD	5.18%	1.3%
3M	12.82%	4.36%
6M	31.08%	8.01%
YTD	31.08%	8.01%
1Y	31.08%	8.01%
3Y (ann.)	86.14%	19.35%
5Y (ann.)	86.14%	19.35%
10Y (ann.)	86.14%	19.35%
All-time (ann.)	86.14%	19.35%
Best Day	4.31%	0.1%
Worst Day	-3.92%	0.0%
Best Month	13.62%	1.31%
Worst Month	0.56%	1.26%
Best Year	31.08%	8.01%
Worst Year	31.08%	8.01%
Avg. Drawdown	-1.55%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.9	-
Ulcer Index	0.04	0.0
Serenity Index	1.14	-
Avg. Up Month	4.7%	1.29%
Avg. Down Month	-	-
Win Days	55.86%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-3.63	-
Alpha	1.19	-
Correlation	-4.69%	-
Treynor Ratio	-8.57%	-