AMNY RUB[Strategy] vs Deposit RUB[Benchmark]

24 Jun, 2024 - 15 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	1.98%	31.95%
CAGR﹪	1.33%	20.65%
Sharpe	0.16	40.48
Prob. Sharpe Ratio	57.82%	99.98%
Smart Sharpe	0.16	40.08
Sortino	0.23	-
Smart Sortino	0.23	-
Sortino/√2	0.17	-
Smart Sortino/√2	0.16	-
Omega	1.03	1.03
Max Drawdown	-27.73%	-
Longest DD Days	-	-
Volatility (ann.)	16.48%	0.47%
R^2	0.01	0.01
Information Ratio	-0.06	-0.06
Calmar	0.05	-
Skew	0.23	10.86
Kurtosis	3.41	136.72
Expected Daily	0.01%	0.07%
Expected Monthly	0.1%	1.47%
Expected Yearly	0.98%	14.87%
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	370
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.11	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	1.03	-
CPC Index	-	-
Tail Ratio	1.0	1.6
Outlier Win Ratio	1.88	17.83
Outlier Loss Ratio	1.9	-
MTD	2.76%	0.71%
3M	-4.25%	4.06%
6M	3.23%	8.4%
YTD	-18.25%	18.72%
1Y	-19.03%	19.89%
3Y (ann.)	1.33%	20.65%
5Y (ann.)	1.33%	20.65%
10Y (ann.)	1.33%	20.65%
All-time (ann.)	1.33%	20.65%
Best Day	5.48%	0.44%
Worst Day	-3.95%	0.0%
Best Month	12.87%	1.83%
Worst Month	-8.96%	0.71%
Best Year	24.74%	18.72%
Worst Year	-18.25%	11.14%
Avg. Drawdown	-2.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.07	-
Ulcer Index	0.18	0.0
Serenity Index	0.0	-
Avg. Up Month	4.45%	1.4%
Avg. Down Month	-	-
Win Days	51.35%	100.0%
Win Month	47.37%	100.0%
Win Quarter	42.86%	100.0%
Win Year	50.0%	100.0%
Beta	-3.95	-
Alpha	0.77	-
Correlation	-11.14%	-
Treynor Ratio	-0.5%	-