AKIE RUB[Strategy] vs Deposit RUB[Benchmark]

26 Sep, 2024 - 20 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	-4.37%	6.53%
CAGR﹪	-17.47%	31.22%
Sharpe	-0.52	20.38
Prob. Sharpe Ratio	40.1%	100.0%
Smart Sharpe	-0.49	19.1
Sortino	-0.79	-
Smart Sortino	-0.74	-
Sortino/√2	-0.56	-
Smart Sortino/√2	-0.52	-
Omega	0.91	0.91
Max Drawdown	-13.07%	-
Longest DD Days	-	-
Volatility (ann.)	27.78%	1.26%
R^2	0.0	0.0
Information Ratio	-0.09	-0.09
Calmar	-1.34	-
Skew	1.1	4.75
Kurtosis	4.93	23.65
Expected Daily	-0.07%	0.1%
Expected Monthly	-1.11%	1.59%
Expected Yearly	-4.37%	6.53%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.94%	-0.03%
Expected Shortfall (cVaR)	-2.94%	-0.03%
Max Consecutive Wins	7	61
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.09	-
Gain/Pain (1M)	-0.43	-
Payoff Ratio	-	-
Profit Factor	0.91	-
Common Sense Ratio	0.89	-
CPC Index	-	-
Tail Ratio	0.98	1.68
Outlier Win Ratio	2.28	25.5
Outlier Loss Ratio	1.37	-
MTD	2.98%	1.84%
3M	-4.37%	6.53%
6M	-4.37%	6.53%
YTD	-4.37%	6.53%
1Y	-4.37%	6.53%
3Y (ann.)	-17.47%	31.22%
5Y (ann.)	-17.47%	31.22%
10Y (ann.)	-17.47%	31.22%
All-time (ann.)	-17.47%	31.22%
Best Day	7.58%	0.52%
Worst Day	-3.86%	0.0%
Best Month	2.98%	1.84%
Worst Month	-8.17%	1.04%
Best Year	-4.37%	6.53%
Worst Year	-4.37%	6.53%
Avg. Drawdown	-10.62%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.33	-
Ulcer Index	0.07	0.0
Serenity Index	-0.1	-
Avg. Up Month	1.37%	1.57%
Avg. Down Month	-	-
Win Days	50.82%	100.0%
Win Month	75.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	1.45	-
Alpha	-0.52	-
Correlation	6.59%	-
Treynor Ratio	-3.02%	-