AMRH RUB[Strategy] vs Deposit RUB[Benchmark]

12 Aug, 2021 - 19 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	51.46%	74.91%
CAGR﹪	9.8%	13.42%
Sharpe	0.72	37.97
Prob. Sharpe Ratio	92.3%	-
Smart Sharpe	0.5	26.77
Sortino	1.02	-
Smart Sortino	0.72	-
Sortino/√2	0.72	-
Smart Sortino/√2	0.51	-
Omega	1.23	1.23
Max Drawdown	-21.06%	-
Longest DD Days	-	-
Volatility (ann.)	14.93%	0.34%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.47	-
Skew	-1.26	0.69
Kurtosis	75.19	0.67
Expected Daily	0.04%	0.05%
Expected Monthly	0.79%	1.06%
Expected Yearly	7.16%	9.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.5%	-0.02%
Expected Shortfall (cVaR)	-1.5%	-0.02%
Max Consecutive Wins	8	1094
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.23	-
Gain/Pain (1M)	2.13	-
Payoff Ratio	-	-
Profit Factor	1.23	-
Common Sense Ratio	1.37	-
CPC Index	-	-
Tail Ratio	1.11	3.49
Outlier Win Ratio	4.74	33.41
Outlier Loss Ratio	2.92	-
MTD	0.46%	1.26%
3M	3.9%	4.46%
6M	8.04%	8.55%
YTD	0.46%	1.26%
1Y	20.36%	19.82%
3Y (ann.)	12.2%	16.52%
5Y (ann.)	9.8%	13.42%
10Y (ann.)	9.8%	13.42%
All-time (ann.)	9.8%	13.42%
Best Day	11.77%	0.14%
Worst Day	-14.25%	0.0%
Best Month	8.18%	1.83%
Worst Month	-9.29%	0.48%
Best Year	20.86%	19.38%
Worst Year	-0.3%	1.26%
Avg. Drawdown	-0.73%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.44	-
Ulcer Index	0.03	0.0
Serenity Index	3.58	-
Avg. Up Month	1.81%	1.12%
Avg. Down Month	-	-
Win Days	57.41%	100.0%
Win Month	71.15%	100.0%
Win Quarter	68.42%	100.0%
Win Year	83.33%	100.0%
Beta	0.56	-
Alpha	0.03	-
Correlation	1.27%	-
Treynor Ratio	91.66%	-