AKFB[Strategy] vs RUB Inflation[Benchmark]

23 Oct, 2024 - 2 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	97.0%
Cumulative Return	-0.85%	3.03%
CAGR﹪	-7.47%	31.35%
Sharpe	-1.2	82.54
Prob. Sharpe Ratio	34.17%	96.87%
Smart Sharpe	-0.83	57.35
Sortino	-1.55	-
Smart Sortino	-1.08	-
Sortino/√2	-1.1	-
Smart Sortino/√2	-0.76	-
Omega	0.8	0.8
Max Drawdown	-1.87%	-
Longest DD Days	-	-
Volatility (ann.)	6.01%	0.31%
R^2	0.0	0.0
Information Ratio	-0.35	-0.35
Calmar	-3.99	-
Skew	-0.5	-5.39
Kurtosis	0.95	29.0
Expected Daily	-0.03%	0.1%
Expected Monthly	-0.28%	1.0%
Expected Yearly	-0.85%	3.03%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.65%	-0.07%
Expected Shortfall (cVaR)	-0.65%	-0.07%
Max Consecutive Wins	4	28
Max Consecutive Losses	3	0
Gain/Pain Ratio	-0.2	-
Gain/Pain (1M)	-0.74	-
Payoff Ratio	-	-
Profit Factor	0.8	-
Common Sense Ratio	0.64	-
CPC Index	-	-
Tail Ratio	0.8	1.0
Outlier Win Ratio	1.72	3.68
Outlier Loss Ratio	1.52	-
MTD	0.0%	0.11%
3M	-0.85%	3.03%
6M	-0.85%	3.03%
YTD	-0.85%	3.03%
1Y	-0.85%	3.03%
3Y (ann.)	-7.47%	31.35%
5Y (ann.)	-7.47%	31.35%
10Y (ann.)	-7.47%	31.35%
All-time (ann.)	-7.47%	31.35%
Best Day	0.67%	0.11%
Worst Day	-0.98%	0.0%
Best Month	0.28%	2.27%
Worst Month	-1.13%	0.11%
Best Year	-0.85%	3.03%
Worst Year	-0.85%	3.03%
Avg. Drawdown	-1.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.45	-
Ulcer Index	0.01	0.0
Serenity Index	-0.24	-
Avg. Up Month	0.28%	2.27%
Avg. Down Month	-	-
Win Days	48.15%	100.0%
Win Month	50.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.28	-
Alpha	-0.0	-
Correlation	-1.45%	-
Treynor Ratio	3.05%	-