AKMB RUB[Strategy] vs [Benchmark] AKCBI RUB

30 Jun, 2021 - 24 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	64.0%
Cumulative Return	77.11%	22.16%
CAGR﹪	12.83%	4.32%
Sharpe	0.59	-0.24
Prob. Sharpe Ratio	65.84%	12.58%
Smart Sharpe	0.56	-0.23
Sortino	0.79	-0.28
Smart Sortino	0.74	-0.26
Sortino/√2	0.56	-0.2
Smart Sortino/√2	0.52	-0.19
Omega	1.16	1.16
Max Drawdown	-16.61%	-23.04%
Longest DD Days	246	587
Volatility (ann.)	9.05%	9.14%
R^2	0.33	0.33
Information Ratio	0.06	0.06
Calmar	0.77	0.19
Skew	-4.13	-10.82
Kurtosis	116.9	234.58
Expected Daily	0.05%	0.02%
Expected Monthly	0.99%	0.35%
Expected Yearly	10.0%	3.39%
Kelly Criterion	8.52%	7.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.89%	-0.93%
Expected Shortfall (cVaR)	-0.89%	-0.93%
Max Consecutive Wins	15	15
Max Consecutive Losses	12	9
Gain/Pain Ratio	0.4	0.25
Gain/Pain (1M)	2.32	0.82
Payoff Ratio	0.9	0.84
Profit Factor	1.4	1.25
Common Sense Ratio	1.85	1.95
CPC Index	0.71	0.61
Tail Ratio	1.33	1.56
Outlier Win Ratio	4.31	10.3
Outlier Loss Ratio	3.39	3.71
MTD	1.41%	0.0%
3M	5.25%	0.0%
6M	8.55%	0.0%
YTD	3.92%	0.0%
1Y	21.15%	0.0%
3Y (ann.)	15.29%	2.93%
5Y (ann.)	12.83%	4.32%
10Y (ann.)	12.83%	4.32%
All-time (ann.)	12.83%	4.32%
Best Day	6.66%	5.72%
Worst Day	-10.58%	-11.6%
Best Month	7.66%	10.74%
Worst Month	-9.27%	-11.55%
Best Year	32.28%	9.17%
Worst Year	3.18%	0.0%
Avg. Drawdown	-0.7%	-0.86%
Avg. Drawdown Days	11	23
Recovery Factor	4.64	0.96
Ulcer Index	0.03	0.03
Serenity Index	2.85	0.6
Avg. Up Month	1.6%	1.99%
Avg. Down Month	-2.45%	-2.78%
Win Days	56.77%	57.84%
Win Month	80.36%	68.42%
Win Quarter	84.21%	61.54%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	0.1	-
Correlation	57.13%	-
Treynor Ratio	123.89%	-