AKMB RUB[Strategy] vs [Benchmark] AKCBI RUB

30 Jun, 2021 - 30 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	61.0%
Cumulative Return	81.03%	22.16%
CAGR﹪	12.83%	4.15%
Sharpe	0.59	-0.27
Prob. Sharpe Ratio	66.91%	11.51%
Smart Sharpe	0.55	-0.26
Sortino	0.78	-0.32
Smart Sortino	0.73	-0.3
Sortino/√2	0.55	-0.23
Smart Sortino/√2	0.52	-0.21
Omega	1.16	1.16
Max Drawdown	-16.61%	-23.04%
Longest DD Days	246	654
Volatility (ann.)	8.85%	8.91%
R^2	0.33	0.33
Information Ratio	0.06	0.06
Calmar	0.77	0.18
Skew	-4.21	-11.09
Kurtosis	121.99	246.82
Expected Daily	0.05%	0.02%
Expected Monthly	0.99%	0.33%
Expected Yearly	10.4%	3.39%
Kelly Criterion	9.17%	7.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.87%	-0.91%
Expected Shortfall (cVaR)	-0.87%	-0.91%
Max Consecutive Wins	15	15
Max Consecutive Losses	12	9
Gain/Pain Ratio	0.4	0.25
Gain/Pain (1M)	2.4	0.82
Payoff Ratio	0.9	0.84
Profit Factor	1.4	1.25
Common Sense Ratio	1.88	1.94
CPC Index	0.72	0.61
Tail Ratio	1.34	1.55
Outlier Win Ratio	4.42	10.96
Outlier Loss Ratio	3.36	3.59
MTD	0.26%	0.0%
3M	3.69%	0.0%
6M	7.81%	0.0%
YTD	6.22%	0.0%
1Y	20.56%	0.0%
3Y (ann.)	14.92%	1.93%
5Y (ann.)	12.83%	4.15%
10Y (ann.)	12.83%	4.15%
All-time (ann.)	12.83%	4.15%
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	-0.66%	-0.86%
Avg. Drawdown Days	11	24
Recovery Factor	4.88	0.96
Ulcer Index	0.03	0.03
Serenity Index	3.1	0.62
Avg. Up Month	1.6%	1.99%
Avg. Down Month	-2.45%	-2.78%
Win Days	57.07%	57.84%
Win Month	81.03%	68.42%
Win Quarter	85.0%	61.54%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	0.1	-
Correlation	57.01%	-
Treynor Ratio	130.83%	-