AMNY RUB[Strategy] vs Deposit RUB[Benchmark]

24 Jun, 2024 - 12 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	6.51%	26.84%
CAGR﹪	5.31%	21.53%
Sharpe	0.39	39.49
Prob. Sharpe Ratio	66.68%	99.97%
Smart Sharpe	0.38	38.49
Sortino	0.57	-
Smart Sortino	0.55	-
Sortino/√2	0.4	-
Smart Sortino/√2	0.39	-
Omega	1.07	1.07
Max Drawdown	-26.56%	-
Longest DD Days	-	-
Volatility (ann.)	16.95%	0.5%
R^2	0.02	0.02
Information Ratio	-0.05	-0.05
Calmar	0.2	-
Skew	0.21	10.53
Kurtosis	3.63	122.93
Expected Daily	0.02%	0.08%
Expected Monthly	0.39%	1.5%
Expected Yearly	3.2%	12.62%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.73%	-0.03%
Expected Shortfall (cVaR)	-1.73%	-0.03%
Max Consecutive Wins	9	304
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.07	-
Gain/Pain (1M)	0.26	-
Payoff Ratio	-	-
Profit Factor	1.07	-
Common Sense Ratio	1.02	-
CPC Index	-	-
Tail Ratio	0.95	1.5
Outlier Win Ratio	1.88	17.49
Outlier Loss Ratio	1.96	-
MTD	4.34%	0.62%
3M	6.99%	4.29%
6M	-0.65%	9.6%
YTD	-14.62%	14.13%
1Y	-4.29%	21.46%
3Y (ann.)	5.31%	21.53%
5Y (ann.)	5.31%	21.53%
10Y (ann.)	5.31%	21.53%
All-time (ann.)	5.31%	21.53%
Best Day	5.48%	0.44%
Worst Day	-3.95%	0.0%
Best Month	12.87%	1.83%
Worst Month	-8.96%	0.62%
Best Year	24.74%	14.13%
Worst Year	-14.62%	11.14%
Avg. Drawdown	-2.45%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.24	-
Ulcer Index	0.17	0.0
Serenity Index	0.01	-
Avg. Up Month	4.9%	1.41%
Avg. Down Month	-	-
Win Days	52.3%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	-4.47	-
Alpha	0.95	-
Correlation	-13.13%	-
Treynor Ratio	-1.45%	-