AKMB RUB[Strategy] vs [Benchmark] AKCBI RUB

30 Jun, 2021 - 4 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	78.0%
Cumulative Return	55.2%	22.16%
CAGR﹪	11.57%	5.11%
Sharpe	0.48	-0.12
Prob. Sharpe Ratio	53.81%	17.13%
Smart Sharpe	0.45	-0.11
Sortino	0.64	-0.14
Smart Sortino	0.59	-0.13
Sortino/√2	0.45	-0.1
Smart Sortino/√2	0.42	-0.09
Omega	1.13	1.13
Max Drawdown	-16.61%	-23.04%
Longest DD Days	246	324
Volatility (ann.)	9.85%	10.1%
R^2	0.34	0.34
Information Ratio	0.04	0.04
Calmar	0.7	0.22
Skew	-3.92	-9.82
Kurtosis	101.52	192.13
Expected Daily	0.04%	0.02%
Expected Monthly	0.88%	0.4%
Expected Yearly	9.19%	4.09%
Kelly Criterion	8.69%	7.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.97%	-1.02%
Expected Shortfall (cVaR)	-0.97%	-1.02%
Max Consecutive Wins	15	15
Max Consecutive Losses	12	9
Gain/Pain Ratio	0.34	0.25
Gain/Pain (1M)	1.91	0.82
Payoff Ratio	0.9	0.84
Profit Factor	1.34	1.25
Common Sense Ratio	1.74	1.99
CPC Index	0.68	0.61
Tail Ratio	1.3	1.59
Outlier Win Ratio	4.44	8.54
Outlier Loss Ratio	3.57	4.36
MTD	1.06%	0.0%
3M	6.35%	0.0%
6M	19.56%	0.0%
YTD	20.46%	0.0%
1Y	25.31%	1.86%
3Y (ann.)	13.63%	5.96%
5Y (ann.)	11.57%	5.11%
10Y (ann.)	11.57%	5.11%
All-time (ann.)	11.57%	5.11%
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	20.46%	9.17%
Worst Year	3.18%	0.0%
Avg. Drawdown	-0.79%	-0.86%
Avg. Drawdown Days	12	19
Recovery Factor	3.32	0.96
Ulcer Index	0.03	0.03
Serenity Index	1.79	0.54
Avg. Up Month	1.6%	1.99%
Avg. Down Month	-2.45%	-2.78%
Win Days	56.85%	57.84%
Win Month	79.17%	68.42%
Win Quarter	82.35%	61.54%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	0.08	-
Correlation	58.05%	-
Treynor Ratio	85.14%	-