AKEU[Strategy] vs RUB Inflation[Benchmark]

7 Dec, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	5.1%	2.96%
CAGR﹪	25.48%	14.25%
Sharpe	1.37	76.3
Prob. Sharpe Ratio	74.18%	100.0%
Smart Sharpe	1.36	75.74
Sortino	2.22	-
Smart Sortino	2.2	-
Sortino/√2	1.57	-
Smart Sortino/√2	1.56	-
Omega	1.24	1.24
Max Drawdown	-6.37%	-
Longest DD Days	-	-
Volatility (ann.)	17.42%	0.17%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	4.0	-
Skew	0.27	-1.66
Kurtosis	-0.45	8.35
Expected Daily	0.09%	0.05%
Expected Monthly	1.67%	0.98%
Expected Yearly	2.52%	1.47%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.71%	-0.03%
Expected Shortfall (cVaR)	-1.71%	-0.03%
Max Consecutive Wins	3	55
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.24	-
Gain/Pain (1M)	469.9	-
Payoff Ratio	-	-
Profit Factor	1.24	-
Common Sense Ratio	1.4	-
CPC Index	-	-
Tail Ratio	1.13	1.42
Outlier Win Ratio	1.32	25.94
Outlier Loss Ratio	1.25	-
MTD	2.31%	1.17%
3M	5.1%	2.96%
6M	5.1%	2.96%
YTD	2.16%	2.17%
1Y	5.1%	2.96%
3Y (ann.)	25.48%	14.25%
5Y (ann.)	25.48%	14.25%
10Y (ann.)	25.48%	14.25%
All-time (ann.)	25.48%	14.25%
Best Day	2.71%	0.06%
Worst Day	-1.95%	0.0%
Best Month	2.87%	1.17%
Worst Month	-0.15%	0.77%
Best Year	2.87%	2.17%
Worst Year	2.16%	0.77%
Avg. Drawdown	-2.31%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.8	-
Ulcer Index	0.03	0.0
Serenity Index	0.29	-
Avg. Up Month	2.59%	0.97%
Avg. Down Month	-	-
Win Days	47.27%	100.0%
Win Month	66.67%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.57	-
Alpha	0.03	-
Correlation	1.56%	-
Treynor Ratio	3.24%	-