AMGL RUB[Strategy] vs Deposit RUB[Benchmark]

15 Jul, 2025 - 23 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	42.8%	9.34%
CAGR﹪	96.86%	18.5%
Sharpe	3.36	57.98
Prob. Sharpe Ratio	99.43%	100.0%
Smart Sharpe	3.23	55.71
Sortino	5.79	-
Smart Sortino	5.57	-
Sortino/√2	4.1	-
Smart Sortino/√2	3.94	-
Omega	1.8	1.8
Max Drawdown	-10.72%	-
Longest DD Days	-	-
Volatility (ann.)	19.4%	0.27%
R^2	0.0	0.0
Information Ratio	0.16	0.16
Calmar	9.04	-
Skew	0.1	0.84
Kurtosis	1.76	1.81
Expected Daily	0.25%	0.06%
Expected Monthly	5.22%	1.28%
Expected Yearly	19.5%	4.56%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.75%	-0.03%
Expected Shortfall (cVaR)	-1.75%	-0.03%
Max Consecutive Wins	4	141
Max Consecutive Losses	3	0
Gain/Pain Ratio	0.8	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	1.8	-
Common Sense Ratio	3.03	-
CPC Index	-	-
Tail Ratio	1.68	2.32
Outlier Win Ratio	1.89	28.74
Outlier Loss Ratio	1.88	-
MTD	8.86%	1.26%
3M	11.65%	4.29%
6M	40.57%	8.77%
YTD	8.86%	1.26%
1Y	42.8%	9.34%
3Y (ann.)	96.86%	18.5%
5Y (ann.)	96.86%	18.5%
10Y (ann.)	96.86%	18.5%
All-time (ann.)	96.86%	18.5%
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	31.18%	7.98%
Worst Year	8.86%	1.26%
Avg. Drawdown	-1.5%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.99	-
Ulcer Index	0.04	0.0
Serenity Index	1.93	-
Avg. Up Month	5.31%	1.28%
Avg. Down Month	-	-
Win Days	58.21%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.69	-
Alpha	0.54	-
Correlation	0.97%	-
Treynor Ratio	62.13%	-