AMRB RUB[Strategy] vs [Benchmark] RGBITR RUB

7 May, 2021 - 4 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	43.0%	100.0%
Cumulative Return	2.58%	21.51%
CAGR﹪	0.56%	4.34%
Sharpe	-0.56	-0.18
Prob. Sharpe Ratio	1.23%	10.54%
Smart Sharpe	-0.48	-0.16
Sortino	-1.06	-0.23
Smart Sortino	-0.92	-0.2
Sortino/√2	-0.75	-0.17
Smart Sortino/√2	-0.65	-0.14
Omega	0.8	0.8
Max Drawdown	-12.01%	-25.96%
Longest DD Days	919	630
Volatility (ann.)	10.21%	10.53%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	0.05	0.17
Skew	13.1	-7.06
Kurtosis	366.23	172.75
Expected Daily	0.0%	0.02%
Expected Monthly	0.05%	0.35%
Expected Yearly	0.51%	3.97%
Kelly Criterion	8.47%	-12.56%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.05%	-1.07%
Expected Shortfall (cVaR)	-1.05%	-1.07%
Max Consecutive Wins	5	15
Max Consecutive Losses	6	15
Gain/Pain Ratio	0.04	0.14
Gain/Pain (1M)	0.2	0.38
Payoff Ratio	1.37	0.74
Profit Factor	1.04	1.14
Common Sense Ratio	1.06	1.44
CPC Index	0.67	0.44
Tail Ratio	1.01	1.27
Outlier Win Ratio	10.35	4.28
Outlier Loss Ratio	2.8	4.01
MTD	0.0%	1.03%
3M	0.0%	1.25%
6M	0.0%	11.82%
YTD	0.0%	21.97%
1Y	0.0%	32.43%
3Y (ann.)	-0.49%	6.37%
5Y (ann.)	0.56%	4.34%
10Y (ann.)	0.56%	4.34%
All-time (ann.)	0.56%	4.34%
Best Day	16.22%	4.82%
Worst Day	-6.87%	-13.8%
Best Month	15.66%	8.98%
Worst Month	-8.12%	-15.17%
Best Year	6.33%	21.97%
Worst Year	-1.99%	-2.62%
Avg. Drawdown	-1.49%	-2.32%
Avg. Drawdown Days	71	55
Recovery Factor	0.21	0.83
Ulcer Index	0.05	0.06
Serenity Index	-0.05	0.16
Avg. Up Month	2.76%	1.64%
Avg. Down Month	-1.82%	-2.55%
Win Days	47.11%	52.31%
Win Month	46.15%	55.36%
Win Quarter	50.0%	57.89%
Win Year	25.0%	60.0%
Beta	-0.1	-
Alpha	0.02	-
Correlation	-10.54%	-
Treynor Ratio	43.27%	-