AMNY RUB[Strategy] vs Deposit RUB[Benchmark]

24 Jun, 2024 - 10 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	1.8%	34.96%
CAGR﹪	1.1%	20.16%
Sharpe	0.15	41.5
Prob. Sharpe Ratio	57.51%	99.98%
Smart Sharpe	0.15	41.09
Sortino	0.21	-
Smart Sortino	0.21	-
Sortino/√2	0.15	-
Smart Sortino/√2	0.15	-
Omega	1.03	1.03
Max Drawdown	-27.73%	-
Longest DD Days	-	-
Volatility (ann.)	16.4%	0.45%
R^2	0.01	0.01
Information Ratio	-0.06	-0.06
Calmar	0.04	-
Skew	0.23	11.16
Kurtosis	3.16	146.09
Expected Daily	0.0%	0.07%
Expected Monthly	0.08%	1.44%
Expected Yearly	0.6%	10.51%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.69%	-0.03%
Expected Shortfall (cVaR)	-1.69%	-0.03%
Max Consecutive Wins	9	405
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.1	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	1.03	1.6
Outlier Win Ratio	1.86	17.83
Outlier Loss Ratio	1.85	-
MTD	3.78%	0.5%
3M	-0.9%	4.02%
6M	1.64%	8.06%
YTD	-0.24%	1.72%
1Y	-15.79%	18.79%
3Y (ann.)	1.1%	20.16%
5Y (ann.)	1.1%	20.16%
10Y (ann.)	1.1%	20.16%
All-time (ann.)	1.1%	20.16%
Best Day	5.48%	0.44%
Worst Day	-3.95%	0.0%
Best Month	12.87%	1.83%
Worst Month	-8.96%	0.5%
Best Year	24.74%	19.38%
Worst Year	-18.19%	1.72%
Avg. Drawdown	-2.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.06	-
Ulcer Index	0.19	0.0
Serenity Index	0.0	-
Avg. Up Month	4.39%	1.37%
Avg. Down Month	-	-
Win Days	51.36%	100.0%
Win Month	47.62%	100.0%
Win Quarter	37.5%	100.0%
Win Year	33.33%	100.0%
Beta	-3.94	-
Alpha	0.76	-
Correlation	-10.77%	-
Treynor Ratio	-0.46%	-