AKHT RUB[Strategy] vs [Benchmark] IMOEXW RUB

19 Nov, 2024 - 15 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	88.0%
Cumulative Return	8.27%	-6.49%
CAGR﹪	4.08%	-3.32%
Sharpe	-0.05	-0.32
Prob. Sharpe Ratio	10.11%	4.37%
Smart Sharpe	-0.05	-0.29
Sortino	-0.08	-0.46
Smart Sortino	-0.07	-0.42
Sortino/√2	-0.05	-0.33
Smart Sortino/√2	-0.05	-0.3
Omega	0.99	0.99
Max Drawdown	-32.13%	-41.95%
Longest DD Days	627	627
Volatility (ann.)	20.93%	22.33%
R^2	0.67	0.67
Information Ratio	0.03	0.03
Calmar	0.13	-0.08
Skew	0.49	0.48
Kurtosis	5.35	4.07
Expected Daily	0.01%	-0.01%
Expected Monthly	0.32%	-0.27%
Expected Yearly	2.68%	-2.21%
Kelly Criterion	3.33%	-1.38%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.15%	-2.32%
Expected Shortfall (cVaR)	-2.15%	-2.32%
Max Consecutive Wins	8	8
Max Consecutive Losses	7	14
Gain/Pain Ratio	0.05	-0.0
Gain/Pain (1M)	0.25	-0.02
Payoff Ratio	0.98	0.99
Profit Factor	1.05	1.0
Common Sense Ratio	1.12	0.98
CPC Index	0.54	0.49
Tail Ratio	1.07	0.98
Outlier Win Ratio	3.91	4.11
Outlier Loss Ratio	3.79	3.4
MTD	4.64%	0.39%
3M	18.02%	15.72%
6M	7.26%	-7.42%
YTD	5.2%	-11.29%
1Y	11.63%	-2.57%
3Y (ann.)	4.08%	-3.32%
5Y (ann.)	4.08%	-3.32%
10Y (ann.)	4.08%	-3.32%
All-time (ann.)	4.08%	-3.32%
Best Day	9.3%	9.13%
Worst Day	-4.5%	-4.39%
Best Month	11.5%	12.0%
Worst Month	-7.86%	-8.93%
Best Year	5.2%	9.37%
Worst Year	0.15%	-11.29%
Avg. Drawdown	-5.97%	-6.89%
Avg. Drawdown Days	78	78
Recovery Factor	0.26	-0.15
Ulcer Index	0.14	0.21
Serenity Index	0.01	-0.03
Avg. Up Month	4.77%	4.67%
Avg. Down Month	-4.74%	-4.55%
Win Days	52.22%	49.6%
Win Month	56.0%	48.0%
Win Quarter	66.67%	55.56%
Win Year	100.0%	33.33%
Beta	0.77	-
Alpha	0.06	-
Correlation	81.94%	-
Treynor Ratio	1.65%	-