AMRH RUB[Strategy] vs Deposit RUB[Benchmark]

12 Aug, 2021 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	49.27%	71.11%
CAGR﹪	9.72%	13.25%
Sharpe	0.7	39.84
Prob. Sharpe Ratio	91.67%	-
Smart Sharpe	0.49	28.09
Sortino	1.0	-
Smart Sortino	0.7	-
Sortino/√2	0.7	-
Smart Sortino/√2	0.5	-
Omega	1.22	1.22
Max Drawdown	-21.06%	-
Longest DD Days	-	-
Volatility (ann.)	15.1%	0.32%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.46	-
Skew	-1.24	0.27
Kurtosis	73.47	-1.26
Expected Daily	0.04%	0.05%
Expected Monthly	0.77%	1.04%
Expected Yearly	8.34%	11.34%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.52%	-0.02%
Expected Shortfall (cVaR)	-1.52%	-0.02%
Max Consecutive Wins	8	1068
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	2.06	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.3	-
CPC Index	-	-
Tail Ratio	1.06	3.49
Outlier Win Ratio	4.7	34.21
Outlier Loss Ratio	2.89	-
MTD	0.2%	0.32%
3M	3.53%	4.02%
6M	10.64%	8.47%
YTD	19.66%	18.26%
1Y	24.75%	20.11%
3Y (ann.)	12.38%	16.04%
5Y (ann.)	9.72%	13.25%
10Y (ann.)	9.72%	13.25%
All-time (ann.)	9.72%	13.25%
Best Day	11.77%	0.09%
Worst Day	-14.25%	0.0%
Best Month	8.18%	1.83%
Worst Month	-9.29%	0.32%
Best Year	19.66%	18.74%
Worst Year	-0.3%	2.83%
Avg. Drawdown	-0.75%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.34	-
Ulcer Index	0.03	0.0
Serenity Index	3.38	-
Avg. Up Month	1.82%	1.09%
Avg. Down Month	-	-
Win Days	57.22%	100.0%
Win Month	70.59%	100.0%
Win Quarter	66.67%	100.0%
Win Year	80.0%	100.0%
Beta	0.63	-
Alpha	0.03	-
Correlation	1.33%	-
Treynor Ratio	77.98%	-