AMNY RUB[Strategy] vs Deposit RUB[Benchmark]

24 Jun, 2024 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	1.27%	38.94%
CAGR﹪	0.69%	19.46%
Sharpe	0.12	41.23
Prob. Sharpe Ratio	56.66%	99.99%
Smart Sharpe	0.12	40.41
Sortino	0.18	-
Smart Sortino	0.17	-
Sortino/√2	0.13	-
Smart Sortino/√2	0.12	-
Omega	1.02	1.02
Max Drawdown	-27.73%	-
Longest DD Days	-	-
Volatility (ann.)	16.44%	0.44%
R^2	0.01	0.01
Information Ratio	-0.06	-0.06
Calmar	0.02	-
Skew	0.18	10.96
Kurtosis	2.89	148.87
Expected Daily	0.0%	0.07%
Expected Monthly	0.05%	1.44%
Expected Yearly	0.42%	11.58%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.7%	-0.03%
Expected Shortfall (cVaR)	-1.7%	-0.03%
Max Consecutive Wins	9	461
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.02	-
Gain/Pain (1M)	0.08	-
Payoff Ratio	-	-
Profit Factor	1.02	-
Common Sense Ratio	1.08	-
CPC Index	-	-
Tail Ratio	1.06	1.69
Outlier Win Ratio	1.83	18.53
Outlier Loss Ratio	1.89	-
MTD	-6.74%	1.12%
3M	3.24%	3.46%
6M	-0.58%	7.55%
YTD	-0.76%	4.71%
1Y	0.12%	16.87%
3Y (ann.)	0.69%	19.46%
5Y (ann.)	0.69%	19.46%
10Y (ann.)	0.69%	19.46%
All-time (ann.)	0.69%	19.46%
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%	4.71%
Avg. Drawdown	-2.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.05	-
Ulcer Index	0.19	0.0
Serenity Index	0.0	-
Avg. Up Month	4.6%	1.41%
Avg. Down Month	-	-
Win Days	51.19%	100.0%
Win Month	47.83%	100.0%
Win Quarter	44.44%	100.0%
Win Year	33.33%	100.0%
Beta	-3.69	-
Alpha	0.68	-
Correlation	-9.78%	-
Treynor Ratio	-0.34%	-