AKEU RUB[Strategy] vs IMOEX RUB[Benchmark]

8 Dec, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	99.0%
Cumulative Return	5.61%	-34.53%
CAGR﹪	28.71%	-85.88%
Sharpe	-10.39	-3.79
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-10.25	-3.73
Sortino	-9.3	-4.17
Smart Sortino	-9.18	-4.11
Sortino/√2	-6.58	-2.95
Smart Sortino/√2	-6.49	-2.91
Omega	0.21	0.21
Max Drawdown	-6.37%	-46.87%
Longest DD Days	50	51
Volatility (ann.)	17.53%	93.25%
R^2	0.02	0.02
Information Ratio	0.11	0.11
Calmar	4.51	-1.83
Skew	0.24	-2.59
Kurtosis	-0.48	20.09
Expected Daily	0.1%	-0.77%
Expected Monthly	1.84%	-13.17%
Expected Yearly	2.77%	-19.09%
Kelly Criterion	4.8%	8.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.71%	-10.23%
Expected Shortfall (cVaR)	-1.71%	-10.23%
Max Consecutive Wins	3	6
Max Consecutive Losses	5	4
Gain/Pain Ratio	0.27	-0.34
Gain/Pain (1M)	512.95	-0.98
Payoff Ratio	1.2	1.11
Profit Factor	1.27	0.66
Common Sense Ratio	1.42	0.36
CPC Index	0.73	0.38
Tail Ratio	1.12	0.54
Outlier Win Ratio	6.73	3.26
Outlier Loss Ratio	14.71	3.22
MTD	2.31%	-30.02%
3M	5.61%	-34.53%
6M	5.61%	-34.53%
YTD	2.16%	-34.77%
1Y	5.61%	-34.53%
3Y (ann.)	28.71%	-85.88%
5Y (ann.)	28.71%	-85.88%
10Y (ann.)	28.71%	-85.88%
All-time (ann.)	28.71%	-85.88%
Best Day	2.71%	20.04%
Worst Day	-1.95%	-33.28%
Best Month	3.38%	0.36%
Worst Month	-0.15%	-30.02%
Best Year	3.38%	0.36%
Worst Year	2.16%	-34.77%
Avg. Drawdown	-1.89%	-25.99%
Avg. Drawdown Days	14	38
Recovery Factor	0.88	-0.74
Ulcer Index	0.03	0.12
Serenity Index	-38.74	-16.96
Avg. Up Month	3.38%	0.36%
Avg. Down Month	-0.15%	-6.78%
Win Days	48.15%	51.85%
Win Month	66.67%	33.33%
Win Quarter	100.0%	50.0%
Win Year	100.0%	50.0%
Beta	-0.02	-
Alpha	0.23	-
Correlation	-12.63%	-
Treynor Ratio	29229.79%	-