AMNY RUB[Strategy] vs Deposit RUB[Benchmark]

24 Jun, 2024 - 26 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	17.1%	44.96%
CAGR﹪	7.54%	18.64%
Sharpe	0.53	41.25
Prob. Sharpe Ratio	78.03%	100.0%
Smart Sharpe	0.51	40.12
Sortino	0.77	-
Smart Sortino	0.75	-
Sortino/√2	0.54	-
Smart Sortino/√2	0.53	-
Omega	1.1	1.1
Max Drawdown	-28.75%	-
Longest DD Days	-	-
Volatility (ann.)	16.5%	0.42%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.26	-
Skew	0.15	10.83
Kurtosis	2.48	154.43
Expected Daily	0.03%	0.07%
Expected Monthly	0.59%	1.38%
Expected Yearly	5.4%	13.17%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.68%	-0.03%
Expected Shortfall (cVaR)	-1.68%	-0.03%
Max Consecutive Wins	9	543
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.37	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.18	-
CPC Index	-	-
Tail Ratio	1.07	1.76
Outlier Win Ratio	1.77	19.33
Outlier Loss Ratio	1.84	-
MTD	8.03%	1.07%
3M	19.61%	3.47%
6M	13.08%	6.82%
YTD	14.76%	9.25%
1Y	15.84%	15.28%
3Y (ann.)	7.54%	18.64%
5Y (ann.)	7.54%	18.64%
10Y (ann.)	7.54%	18.64%
All-time (ann.)	7.54%	18.64%
Best Day	5.48%	0.44%
Worst Day	-3.95%	0.0%
Best Month	12.87%	1.83%
Worst Month	-8.96%	0.89%
Best Year	24.74%	19.38%
Worst Year	-18.19%	9.25%
Avg. Drawdown	-2.58%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.59	-
Ulcer Index	0.2	0.0
Serenity Index	0.03	-
Avg. Up Month	5.05%	1.34%
Avg. Down Month	-	-
Win Days	52.12%	100.0%
Win Month	51.85%	100.0%
Win Quarter	50.0%	100.0%
Win Year	66.67%	100.0%
Beta	-3.94	-
Alpha	0.76	-
Correlation	-9.95%	-
Treynor Ratio	-4.34%	-