AKMB RUB[Strategy] vs [Benchmark] AKCBI RUB

30 Jun, 2021 - 17 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	73.0%
Cumulative Return	63.95%	22.16%
CAGR﹪	12.43%	4.86%
Sharpe	0.56	-0.16
Prob. Sharpe Ratio	60.05%	15.69%
Smart Sharpe	0.52	-0.15
Sortino	0.74	-0.18
Smart Sortino	0.69	-0.17
Sortino/√2	0.52	-0.13
Smart Sortino/√2	0.49	-0.12
Omega	1.15	1.15
Max Drawdown	-16.61%	-23.04%
Longest DD Days	246	399
Volatility (ann.)	9.61%	9.8%
R^2	0.33	0.33
Information Ratio	0.05	0.05
Calmar	0.75	0.21
Skew	-3.97	-10.11
Kurtosis	105.51	204.18
Expected Daily	0.05%	0.02%
Expected Monthly	0.96%	0.39%
Expected Yearly	10.39%	4.09%
Kelly Criterion	9.05%	7.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.95%	-0.99%
Expected Shortfall (cVaR)	-0.95%	-0.99%
Max Consecutive Wins	15	15
Max Consecutive Losses	12	9
Gain/Pain Ratio	0.37	0.25
Gain/Pain (1M)	2.13	0.82
Payoff Ratio	0.9	0.84
Profit Factor	1.37	1.25
Common Sense Ratio	1.82	1.89
CPC Index	0.7	0.61
Tail Ratio	1.33	1.51
Outlier Win Ratio	4.25	8.85
Outlier Loss Ratio	3.42	4.07
MTD	-0.08%	0.0%
3M	7.43%	0.0%
6M	13.63%	0.0%
YTD	27.25%	0.0%
1Y	31.61%	0.0%
3Y (ann.)	15.43%	5.43%
5Y (ann.)	12.43%	4.86%
10Y (ann.)	12.43%	4.86%
All-time (ann.)	12.43%	4.86%
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	27.25%	9.17%
Worst Year	3.18%	0.0%
Avg. Drawdown	-0.74%	-0.86%
Avg. Drawdown Days	11	20
Recovery Factor	3.85	0.96
Ulcer Index	0.03	0.03
Serenity Index	2.19	0.56
Avg. Up Month	1.6%	1.99%
Avg. Down Month	-2.45%	-2.78%
Win Days	57.02%	57.84%
Win Month	78.0%	68.42%
Win Quarter	82.35%	61.54%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	0.09	-
Correlation	57.69%	-
Treynor Ratio	100.62%	-