AMRB RUB[Strategy] vs [Benchmark] RGBITR RUB

7 May, 2021 - 26 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	38.0%	100.0%
Cumulative Return	2.58%	24.87%
CAGR﹪	0.5%	4.42%
Sharpe	-0.6	-0.19
Prob. Sharpe Ratio	0.84%	10.25%
Smart Sharpe	-0.52	-0.16
Sortino	-1.15	-0.24
Smart Sortino	-0.99	-0.21
Sortino/√2	-0.81	-0.17
Smart Sortino/√2	-0.7	-0.15
Omega	0.78	0.78
Max Drawdown	-12.01%	-25.96%
Longest DD Days	1123	630
Volatility (ann.)	9.64%	10.08%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	0.04	0.17
Skew	13.87	-7.19
Kurtosis	410.63	183.83
Expected Daily	0.0%	0.02%
Expected Monthly	0.04%	0.36%
Expected Yearly	0.42%	3.77%
Kelly Criterion	8.47%	-12.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.0%	-1.02%
Expected Shortfall (cVaR)	-1.0%	-1.02%
Max Consecutive Wins	5	15
Max Consecutive Losses	6	15
Gain/Pain Ratio	0.04	0.14
Gain/Pain (1M)	0.2	0.41
Payoff Ratio	1.37	0.74
Profit Factor	1.04	1.14
Common Sense Ratio	1.07	1.45
CPC Index	0.67	0.44
Tail Ratio	1.02	1.27
Outlier Win Ratio	11.34	4.19
Outlier Loss Ratio	2.72	4.03
MTD	0.0%	-3.31%
3M	0.0%	-1.94%
6M	0.0%	2.68%
YTD	0.0%	1.83%
1Y	0.0%	11.73%
3Y (ann.)	-1.13%	6.86%
5Y (ann.)	0.7%	4.43%
10Y (ann.)	0.5%	4.42%
All-time (ann.)	0.5%	4.42%
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%	23.09%
Worst Year	-1.99%	-2.62%
Avg. Drawdown	-1.49%	-1.83%
Avg. Drawdown Days	79	43
Recovery Factor	0.21	0.96
Ulcer Index	0.05	0.05
Serenity Index	-0.05	0.21
Avg. Up Month	2.76%	1.64%
Avg. Down Month	-1.82%	-2.55%
Win Days	47.11%	52.29%
Win Month	46.15%	56.45%
Win Quarter	50.0%	57.14%
Win Year	25.0%	66.67%
Beta	-0.1	-
Alpha	0.01	-
Correlation	-10.41%	-
Treynor Ratio	44.42%	-