AKMB RUB[Strategy] vs [Benchmark] AKCBI RUB

30 Jun, 2021 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	97.0%	100.0%
Cumulative Return	26.94%	19.8%
CAGR﹪	8.82%	6.61%
Sharpe	-18.51	-16.66
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-16.39	-14.76
Sortino	-12.41	-11.78
Smart Sortino	-10.99	-10.43
Sortino/√2	-8.78	-8.33
Smart Sortino/√2	-7.77	-7.38
Omega	0.03	0.03
Max Drawdown	-16.61%	-23.04%
Longest DD Days	154	166
Volatility (ann.)	10.78%	12.09%
R^2	0.4	0.4
Information Ratio	0.01	0.01
Calmar	0.53	0.29
Skew	-4.58	-8.29
Kurtosis	100.38	134.68
Expected Daily	0.03%	0.03%
Expected Monthly	0.68%	0.52%
Expected Yearly	6.15%	4.62%
Kelly Criterion	9.71%	5.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-1.22%
Expected Shortfall (cVaR)	-1.08%	-1.22%
Max Consecutive Wins	8	15
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.26	0.25
Gain/Pain (1M)	1.51	0.78
Payoff Ratio	0.9	0.78
Profit Factor	1.26	1.25
Common Sense Ratio	1.97	1.74
CPC Index	0.65	0.57
Tail Ratio	1.56	1.39
Outlier Win Ratio	5.02	6.11
Outlier Loss Ratio	4.03	4.86
MTD	0.58%	0.18%
3M	0.67%	1.65%
6M	4.45%	5.71%
YTD	1.88%	3.31%
1Y	8.18%	6.75%
3Y (ann.)	8.82%	6.61%
5Y (ann.)	8.82%	6.61%
10Y (ann.)	8.82%	6.61%
All-time (ann.)	8.82%	6.61%
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	11.72%	9.17%
Worst Year	1.88%	1.15%
Avg. Drawdown	-0.8%	-0.91%
Avg. Drawdown Days	11	14
Recovery Factor	1.62	0.86
Ulcer Index	0.03	0.04
Serenity Index	-24.99	-20.31
Avg. Up Month	1.71%	2.04%
Avg. Down Month	-2.48%	-3.02%
Win Days	57.33%	58.5%
Win Month	78.79%	67.65%
Win Quarter	83.33%	66.67%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	0.05	-
Correlation	63.58%	-
Treynor Ratio	-1187.5%	-