AKHT RUB[Strategy] vs [Benchmark] IMOEXW RUB

19 Nov, 2024 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	97.0%
Cumulative Return	10.9%	14.49%
CAGR﹪	15.07%	20.15%
Sharpe	0.39	0.54
Prob. Sharpe Ratio	34.47%	38.82%
Smart Sharpe	0.35	0.48
Sortino	0.59	0.86
Smart Sortino	0.52	0.76
Sortino/√2	0.42	0.61
Smart Sortino/√2	0.37	0.54
Omega	1.07	1.07
Max Drawdown	-19.02%	-20.79%
Longest DD Days	170	170
Volatility (ann.)	24.91%	26.46%
R^2	0.76	0.76
Information Ratio	-0.02	-0.02
Calmar	0.79	0.97
Skew	0.85	1.0
Kurtosis	5.48	4.22
Expected Daily	0.05%	0.07%
Expected Monthly	1.04%	1.36%
Expected Yearly	5.31%	7.0%
Kelly Criterion	6.16%	5.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.52%	-2.66%
Expected Shortfall (cVaR)	-2.52%	-2.66%
Max Consecutive Wins	8	8
Max Consecutive Losses	5	14
Gain/Pain Ratio	0.12	0.15
Gain/Pain (1M)	0.71	0.9
Payoff Ratio	0.96	1.02
Profit Factor	1.12	1.15
Common Sense Ratio	1.04	1.16
CPC Index	0.58	0.61
Tail Ratio	0.93	1.01
Outlier Win Ratio	3.61	3.28
Outlier Loss Ratio	2.6	2.57
MTD	6.43%	10.45%
3M	12.18%	4.16%
6M	-0.6%	-4.87%
YTD	7.92%	4.67%
1Y	10.9%	14.49%
3Y (ann.)	15.07%	20.15%
5Y (ann.)	15.07%	20.15%
10Y (ann.)	15.07%	20.15%
All-time (ann.)	15.07%	20.15%
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	7.92%	9.37%
Worst Year	2.76%	4.67%
Avg. Drawdown	-4.51%	-4.54%
Avg. Drawdown Days	27	27
Recovery Factor	0.57	0.7
Ulcer Index	0.1	0.12
Serenity Index	0.03	0.05
Avg. Up Month	5.55%	6.87%
Avg. Down Month	-4.61%	-3.79%
Win Days	54.01%	52.41%
Win Month	60.0%	50.0%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.82	-
Alpha	-0.01	-
Correlation	87.04%	-
Treynor Ratio	4.76%	-