AKMB[Strategy] vs RUB Inflation[Benchmark]

2 Jun, 2020 - 2 Oct, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	32.8%	20.08%
CAGR﹪	8.88%	5.64%
Sharpe	0.93	17.14
Prob. Sharpe Ratio	92.22%	100.0%
Smart Sharpe	0.77	14.25
Sortino	1.19	63.83
Smart Sortino	0.99	53.05
Sortino/√2	0.84	45.13
Smart Sortino/√2	0.7	37.51
Omega	1.3	1.3
Max Drawdown	-16.61%	-1.25%
Longest DD Days	154	209
Volatility (ann.)	9.9%	0.33%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.53	4.5
Skew	-5.02	0.02
Kurtosis	120.17	0.19
Expected Daily	0.03%	0.02%
Expected Monthly	0.71%	0.46%
Expected Yearly	7.35%	4.68%
Kelly Criterion	14.04%	80.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.99%	-0.01%
Expected Shortfall (cVaR)	-0.99%	-0.01%
Max Consecutive Wins	8	396
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.3	13.33
Gain/Pain (1M)	1.73	13.33
Payoff Ratio	0.92	2.05
Profit Factor	1.3	14.33
Common Sense Ratio	1.72	40.5
CPC Index	0.71	25.57
Tail Ratio	1.32	2.83
Outlier Win Ratio	2.77	26.26
Outlier Loss Ratio	2.21	52.03
MTD	-0.17%	0.01%
3M	0.29%	1.18%
6M	4.12%	2.26%
YTD	8.67%	3.97%
1Y	15.78%	5.36%
3Y (ann.)	8.64%	6.16%
5Y (ann.)	8.88%	5.64%
10Y (ann.)	8.88%	5.64%
All-time (ann.)	8.88%	5.64%
Best Day	6.66%	0.07%
Worst Day	-10.58%	-0.02%
Best Month	7.66%	1.56%
Worst Month	-9.27%	-0.52%
Best Year	8.67%	8.39%
Worst Year	6.09%	2.44%
Avg. Drawdown	-0.56%	-0.68%
Avg. Drawdown Days	8	138
Recovery Factor	1.97	16.0
Ulcer Index	0.03	0.0
Serenity Index	1.45	1.65
Avg. Up Month	1.32%	0.53%
Avg. Down Month	-	-
Win Days	58.82%	86.83%
Win Month	80.0%	87.5%
Win Quarter	80.0%	93.33%
Win Year	100.0%	100.0%
Beta	-1.96	-
Alpha	0.2	-
Correlation	-6.48%	-
Treynor Ratio	-16.76%	-