AKIE RUB[Strategy] vs Deposit RUB[Benchmark]

26 Sep, 2024 - 18 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	95.0%
Cumulative Return	-1.41%	2.7%
CAGR﹪	-21.01%	55.63%
Sharpe	-1.93	18.02
Prob. Sharpe Ratio	30.68%	-
Smart Sharpe	-1.83	17.03
Sortino	-2.4	-
Smart Sortino	-2.27	-
Sortino/√2	-1.7	-
Smart Sortino/√2	-1.6	-
Omega	0.73	0.73
Max Drawdown	-2.68%	-
Longest DD Days	-	-
Volatility (ann.)	10.61%	2.2%
R^2	0.04	0.04
Information Ratio	-0.36	-0.36
Calmar	-7.82	-
Skew	-0.52	2.36
Kurtosis	-0.3	4.84
Expected Daily	-0.08%	0.16%
Expected Monthly	-0.71%	1.34%
Expected Yearly	-1.41%	2.7%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.18%	-0.07%
Expected Shortfall (cVaR)	-1.18%	-0.07%
Max Consecutive Wins	2	16
Max Consecutive Losses	3	0
Gain/Pain Ratio	-0.27	-
Gain/Pain (1M)	-0.69	-
Payoff Ratio	-	-
Profit Factor	0.73	-
Common Sense Ratio	0.54	-
CPC Index	-	-
Tail Ratio	0.75	5.53
Outlier Win Ratio	1.7	4.48
Outlier Loss Ratio	1.1	-
MTD	-2.03%	1.65%
3M	-1.41%	2.7%
6M	-1.41%	2.7%
YTD	-1.41%	2.7%
1Y	-1.41%	2.7%
3Y (ann.)	-21.01%	55.63%
5Y (ann.)	-21.01%	55.63%
10Y (ann.)	-21.01%	55.63%
All-time (ann.)	-21.01%	55.63%
Best Day	0.9%	0.52%
Worst Day	-1.49%	0.0%
Best Month	0.63%	1.65%
Worst Month	-2.03%	1.04%
Best Year	-1.41%	2.7%
Worst Year	-1.41%	2.7%
Avg. Drawdown	-2.68%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.53	-
Ulcer Index	0.02	0.0
Serenity Index	-0.17	-
Avg. Up Month	0.63%	1.04%
Avg. Down Month	-	-
Win Days	50.0%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	1.01	-
Alpha	-0.6	-
Correlation	20.87%	-
Treynor Ratio	-1.4%	-