AKHT RUB[Strategy] vs [Benchmark] IMOEXW RUB

19 Nov, 2024 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	95.0%
Cumulative Return	-0.88%	6.22%
CAGR﹪	-1.66%	12.15%
Sharpe	-0.17	0.28
Prob. Sharpe Ratio	22.04%	32.78%
Smart Sharpe	-0.15	0.25
Sortino	-0.26	0.46
Smart Sortino	-0.23	0.4
Sortino/√2	-0.18	0.32
Smart Sortino/√2	-0.16	0.28
Omega	0.97	0.97
Max Drawdown	-19.02%	-20.49%
Longest DD Days	93	93
Volatility (ann.)	27.27%	28.33%
R^2	0.79	0.79
Information Ratio	-0.06	-0.06
Calmar	-0.09	0.59
Skew	1.0	1.16
Kurtosis	5.25	4.32
Expected Daily	-0.01%	0.04%
Expected Monthly	-0.13%	0.87%
Expected Yearly	-0.44%	3.06%
Kelly Criterion	3.56%	3.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.82%	-2.88%
Expected Shortfall (cVaR)	-2.82%	-2.88%
Max Consecutive Wins	8	5
Max Consecutive Losses	5	14
Gain/Pain Ratio	0.01	0.09
Gain/Pain (1M)	0.06	0.57
Payoff Ratio	1.0	1.13
Profit Factor	1.01	1.09
Common Sense Ratio	0.94	1.15
CPC Index	0.52	0.6
Tail Ratio	0.92	1.05
Outlier Win Ratio	3.79	3.3
Outlier Loss Ratio	2.33	2.46
MTD	-0.91%	-3.18%
3M	-11.41%	-13.16%
6M	6.69%	8.77%
YTD	-3.54%	-2.88%
1Y	-0.88%	6.22%
3Y (ann.)	-1.66%	12.15%
5Y (ann.)	-1.66%	12.15%
10Y (ann.)	-1.66%	12.15%
All-time (ann.)	-1.66%	12.15%
Best Day	9.3%	9.13%
Worst Day	-4.08%	-3.58%
Best Month	10.61%	12.0%
Worst Month	-7.09%	-5.98%
Best Year	2.76%	9.37%
Worst Year	-3.54%	-2.88%
Avg. Drawdown	-4.51%	-4.51%
Avg. Drawdown Days	19	19
Recovery Factor	-0.05	0.3
Ulcer Index	0.1	0.09
Serenity Index	-0.08	-0.01
Avg. Up Month	6.28%	7.51%
Avg. Down Month	-4.61%	-3.79%
Win Days	51.88%	48.87%
Win Month	42.86%	42.86%
Win Quarter	66.67%	66.67%
Win Year	50.0%	50.0%
Beta	0.86	-
Alpha	-0.11	-
Correlation	89.0%	-
Treynor Ratio	-9.19%	-