AKFB[Strategy] vs RUB Inflation[Benchmark]

23 Oct, 2024 - 21 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	96.0%
Cumulative Return	-0.58%	2.27%
CAGR﹪	-7.03%	32.6%
Sharpe	-1.1	71.07
Prob. Sharpe Ratio	37.32%	96.55%
Smart Sharpe	-0.75	48.83
Sortino	-1.43	-
Smart Sortino	-0.98	-
Sortino/√2	-1.01	-
Smart Sortino/√2	-0.69	-
Omega	0.82	0.82
Max Drawdown	-1.87%	-
Longest DD Days	-	-
Volatility (ann.)	5.89%	0.36%
R^2	0.0	0.0
Information Ratio	-0.34	-0.34
Calmar	-3.76	-
Skew	-0.56	-4.69
Kurtosis	1.47	22.0
Expected Daily	-0.03%	0.1%
Expected Monthly	-0.29%	1.13%
Expected Yearly	-0.58%	2.27%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.64%	-0.06%
Expected Shortfall (cVaR)	-0.64%	-0.06%
Max Consecutive Wins	4	21
Max Consecutive Losses	2	0
Gain/Pain Ratio	-0.18	-
Gain/Pain (1M)	-0.5	-
Payoff Ratio	-	-
Profit Factor	0.82	-
Common Sense Ratio	0.73	-
CPC Index	-	-
Tail Ratio	0.89	1.0
Outlier Win Ratio	1.82	3.74
Outlier Loss Ratio	1.45	-
MTD	0.55%	1.61%
3M	-0.58%	2.27%
6M	-0.58%	2.27%
YTD	-0.58%	2.27%
1Y	-0.58%	2.27%
3Y (ann.)	-7.03%	32.6%
5Y (ann.)	-7.03%	32.6%
10Y (ann.)	-7.03%	32.6%
All-time (ann.)	-7.03%	32.6%
Best Day	0.67%	0.11%
Worst Day	-0.98%	0.0%
Best Month	0.55%	1.61%
Worst Month	-1.13%	0.64%
Best Year	-0.58%	2.27%
Worst Year	-0.58%	2.27%
Avg. Drawdown	-1.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.31	-
Ulcer Index	0.01	0.0
Serenity Index	-0.15	-
Avg. Up Month	0.55%	1.61%
Avg. Down Month	-	-
Win Days	52.38%	100.0%
Win Month	50.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.25	-
Alpha	0.0	-
Correlation	-1.55%	-
Treynor Ratio	2.29%	-