AMNY RUB[Strategy] vs Deposit RUB[Benchmark]

24 Jun, 2024 - 30 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	2.46%	29.34%
CAGR﹪	1.82%	20.98%
Sharpe	0.19	39.68
Prob. Sharpe Ratio	58.78%	99.98%
Smart Sharpe	0.19	39.05
Sortino	0.28	-
Smart Sortino	0.27	-
Sortino/√2	0.19	-
Smart Sortino/√2	0.19	-
Omega	1.04	1.04
Max Drawdown	-26.56%	-
Longest DD Days	-	-
Volatility (ann.)	16.78%	0.48%
R^2	0.01	0.01
Information Ratio	-0.06	-0.06
Calmar	0.07	-
Skew	0.22	10.59
Kurtosis	3.41	128.32
Expected Daily	0.01%	0.08%
Expected Monthly	0.14%	1.52%
Expected Yearly	1.22%	13.73%
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	338
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.04	-
Gain/Pain (1M)	0.13	-
Payoff Ratio	-	-
Profit Factor	1.04	-
Common Sense Ratio	0.99	-
CPC Index	-	-
Tail Ratio	0.96	1.53
Outlier Win Ratio	1.89	17.76
Outlier Loss Ratio	1.89	-
MTD	-1.99%	1.29%
3M	-1.16%	4.07%
6M	1.3%	8.8%
YTD	-17.86%	16.38%
1Y	-15.93%	20.82%
3Y (ann.)	1.82%	20.98%
5Y (ann.)	1.82%	20.98%
10Y (ann.)	1.82%	20.98%
All-time (ann.)	1.82%	20.98%
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%	16.38%
Worst Year	-17.86%	11.14%
Avg. Drawdown	-2.45%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.09	-
Ulcer Index	0.17	0.0
Serenity Index	0.0	-
Avg. Up Month	4.66%	1.49%
Avg. Down Month	-	-
Win Days	52.07%	100.0%
Win Month	47.06%	100.0%
Win Quarter	42.86%	100.0%
Win Year	50.0%	100.0%
Beta	-4.07	-
Alpha	0.81	-
Correlation	-11.7%	-
Treynor Ratio	-0.6%	-