AKIE[Strategy] vs RUB Inflation[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%	3.56%
CAGR﹪	-17.47%	16.22%
Sharpe	-0.52	34.07
Prob. Sharpe Ratio	40.1%	100.0%
Smart Sharpe	-0.49	31.92
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%	0.42%
R^2	0.01	0.01
Information Ratio	-0.07	-0.07
Calmar	-1.34	-
Skew	1.1	1.63
Kurtosis	4.93	6.12
Expected Daily	-0.07%	0.06%
Expected Monthly	-1.11%	0.88%
Expected Yearly	-4.37%	3.56%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.94%	-0.01%
Expected Shortfall (cVaR)	-2.94%	-0.01%
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	2.08
Outlier Win Ratio	2.12	42.96
Outlier Loss Ratio	1.38	-
MTD	2.98%	1.02%
3M	-4.37%	3.56%
6M	-4.37%	3.56%
YTD	-4.37%	3.56%
1Y	-4.37%	3.56%
3Y (ann.)	-17.47%	16.22%
5Y (ann.)	-17.47%	16.22%
10Y (ann.)	-17.47%	16.22%
All-time (ann.)	-17.47%	16.22%
Best Day	7.58%	0.16%
Worst Day	-3.86%	0.0%
Best Month	2.98%	1.43%
Worst Month	-8.17%	0.32%
Best Year	-4.37%	3.56%
Worst Year	-4.37%	3.56%
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%	0.92%
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	7.38	-
Alpha	-1.19	-
Correlation	11.1%	-
Treynor Ratio	-0.59%	-