AKMB RUB[Strategy] vs [Benchmark] AKCBI RUB

30 Jun, 2021 - 2 Feb, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	12.23%	7.83%
CAGR﹪	7.5%	4.84%
Sharpe	-14.32	-12.8
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-12.74	-11.39
Sortino	-11.09	-10.3
Smart Sortino	-9.86	-9.16
Sortino/√2	-7.84	-7.28
Smart Sortino/√2	-6.98	-6.48
Omega	0.06	0.06
Max Drawdown	-16.61%	-23.04%
Longest DD Days	154	166
Volatility (ann.)	13.99%	15.82%
R^2	0.43	0.43
Information Ratio	0.01	0.01
Calmar	0.45	0.21
Skew	-3.81	-6.7
Kurtosis	63.36	82.32
Expected Daily	0.03%	0.02%
Expected Monthly	0.55%	0.36%
Expected Yearly	3.92%	2.54%
Kelly Criterion	7.66%	2.91%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.42%	-1.61%
Expected Shortfall (cVaR)	-1.42%	-1.61%
Max Consecutive Wins	8	15
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.18	0.15
Gain/Pain (1M)	0.85	0.4
Payoff Ratio	0.85	0.75
Profit Factor	1.18	1.15
Common Sense Ratio	1.74	1.81
CPC Index	0.58	0.5
Tail Ratio	1.48	1.57
Outlier Win Ratio	4.83	5.89
Outlier Loss Ratio	5.82	6.89
MTD	0.15%	0.01%
3M	3.0%	1.28%
6M	5.0%	4.47%
YTD	0.62%	1.51%
1Y	10.26%	8.75%
3Y (ann.)	7.5%	4.84%
5Y (ann.)	7.5%	4.84%
10Y (ann.)	7.5%	4.84%
All-time (ann.)	7.5%	4.84%
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	8.1%	5.02%
Worst Year	0.62%	1.15%
Avg. Drawdown	-1.17%	-1.41%
Avg. Drawdown Days	13	17
Recovery Factor	0.74	0.34
Ulcer Index	0.04	0.05
Serenity Index	-18.87	-15.39
Avg. Up Month	2.1%	2.63%
Avg. Down Month	-3.15%	-3.97%
Win Days	57.45%	58.49%
Win Month	73.68%	65.0%
Win Quarter	71.43%	57.14%
Win Year	100.0%	100.0%
Beta	0.58	-
Alpha	0.05	-
Correlation	65.37%	-
Treynor Ratio	-1190.35%	-