AKMB RUB[Strategy] vs Deposit RUB[Benchmark]

2 Jun, 2020 - 17 Sep, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	12.0%	6.66%
CAGR%	9.16%	5.12%
Sharpe	3.84	29.62
Sortino	6.72	56.4
Max Drawdown	-0.72%	-0.1%
Longest DD Days	70	1
Volatility (ann.)	2.26%	0.17%
R^2	0.02	0.02
Calmar	12.74	51.17
Skew	0.24	0.6
Kurtosis	2.47	107.89
Expected Daily %	0.03%	0.02%
Expected Monthly %	0.71%	0.4%
Expected Yearly %	5.83%	3.28%
Kelly Criterion	28.5%	98.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.0%
Expected Shortfall (cVaR)	-0.31%	-0.31%
Payoff Ratio	1.11	0.2
Profit Factor	0.99	64.54
Common Sense Ratio	1.74	91.38
CPC Index	0.69	13.06
Tail Ratio	1.76	1.42
Outlier Win Ratio	2.11	11.76
Outlier Loss Ratio	1.76	1.63
MTD	0.25%	0.51%
3M	2.56%	1.7%
6M	4.78%	2.94%
YTD	5.11%	3.92%
1Y	8.36%	5.26%
3Y (ann.)	9.16%	5.12%
5Y (ann.)	9.16%	5.12%
10Y (ann.)	9.16%	5.12%
All-time (ann.)	9.16%	5.12%
Best Day	0.61%	0.14%
Worst Day	-0.55%	-0.1%
Best Month	1.21%	0.51%
Worst Month	-0.42%	0.37%
Best Year	6.55%	3.92%
Worst Year	5.11%	2.64%
Avg. Drawdown	-0.12%	-0.1%
Avg. Drawdown Days	4	1
Recovery Factor	16.7	66.66
Ulcer Index	inf	inf
Avg. Up Month	0.79%	0.41%
Avg. Down Month	nan%	nan%
Win Days %	62.31%	99.7%
Win Month %	93.75%	100.0%
Win Quarter %	100.0%	100.0%
Win Year %	100.0%	100.0%
Beta	1.68	-
Alpha	0.0	-