AKFB RUB[Strategy] vs Deposit RUB[Benchmark]

23 Oct, 2024 - 2 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	97.0%
Cumulative Return	-1.21%	3.35%
CAGR﹪	-10.48%	35.03%
Sharpe	-1.7	27.02
Prob. Sharpe Ratio	28.11%	-
Smart Sharpe	-1.19	18.91
Sortino	-2.17	-
Smart Sortino	-1.52	-
Sortino/√2	-1.54	-
Smart Sortino/√2	-1.08	-
Omega	0.74	0.74
Max Drawdown	-1.87%	-
Longest DD Days	-	-
Volatility (ann.)	6.09%	1.06%
R^2	0.04	0.04
Information Ratio	-0.38	-0.38
Calmar	-5.6	-
Skew	-0.4	1.25
Kurtosis	0.69	0.3
Expected Daily	-0.04%	0.11%
Expected Monthly	-0.4%	1.1%
Expected Yearly	-1.21%	3.35%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.67%	-0.0%
Expected Shortfall (cVaR)	-0.67%	-0.0%
Max Consecutive Wins	4	28
Max Consecutive Losses	3	0
Gain/Pain Ratio	-0.26	-
Gain/Pain (1M)	-0.8	-
Payoff Ratio	-	-
Profit Factor	0.74	-
Common Sense Ratio	0.59	-
CPC Index	-	-
Tail Ratio	0.8	2.86
Outlier Win Ratio	1.88	3.92
Outlier Loss Ratio	1.51	-
MTD	-0.36%	0.08%
3M	-1.21%	3.35%
6M	-1.21%	3.35%
YTD	-1.21%	3.35%
1Y	-1.21%	3.35%
3Y (ann.)	-10.48%	35.03%
5Y (ann.)	-10.48%	35.03%
10Y (ann.)	-10.48%	35.03%
All-time (ann.)	-10.48%	35.03%
Best Day	0.67%	0.24%
Worst Day	-0.98%	0.0%
Best Month	0.28%	1.79%
Worst Month	-1.13%	0.08%
Best Year	-1.21%	3.35%
Worst Year	-1.21%	3.35%
Avg. Drawdown	-1.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.64	-
Ulcer Index	0.01	0.0
Serenity Index	-0.33	-
Avg. Up Month	0.28%	1.79%
Avg. Down Month	-	-
Win Days	46.43%	100.0%
Win Month	33.33%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-1.11	-
Alpha	0.21	-
Correlation	-19.3%	-
Treynor Ratio	1.09%	-