AKMB[Strategy] vs RUB Inflation[Benchmark]

2 Jun, 2020 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	35.1%	30.89%
CAGR﹪	7.16%	6.38%
Sharpe	0.83	20.21
Prob. Sharpe Ratio	92.98%	100.0%
Smart Sharpe	0.69	16.84
Sortino	1.07	81.87
Smart Sortino	0.89	68.21
Sortino/√2	0.76	57.89
Smart Sortino/√2	0.63	48.23
Omega	1.25	1.25
Max Drawdown	-16.61%	-1.25%
Longest DD Days	165	209
Volatility (ann.)	8.91%	0.31%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.43	5.09
Skew	-5.21	-0.22
Kurtosis	139.3	0.23
Expected Daily	0.03%	0.02%
Expected Monthly	0.58%	0.52%
Expected Yearly	6.2%	5.53%
Kelly Criterion	9.38%	85.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.89%	-0.01%
Expected Shortfall (cVaR)	-0.89%	-0.01%
Max Consecutive Wins	8	535
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.25	19.62
Gain/Pain (1M)	1.52	19.62
Payoff Ratio	0.88	2.18
Profit Factor	1.25	20.62
Common Sense Ratio	1.44	64.93
CPC Index	0.64	40.36
Tail Ratio	1.15	3.15
Outlier Win Ratio	2.88	24.35
Outlier Loss Ratio	2.04	45.26
MTD	-1.01%	0.05%
3M	-0.1%	1.33%
6M	-1.82%	3.39%
YTD	-1.04%	5.51%
1Y	2.3%	8.15%
3Y (ann.)	6.85%	6.38%
5Y (ann.)	7.16%	6.38%
10Y (ann.)	7.16%	6.38%
All-time (ann.)	7.16%	6.38%
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	11.72%	8.39%
Worst Year	-1.04%	2.44%
Avg. Drawdown	-0.57%	-0.68%
Avg. Drawdown Days	10	138
Recovery Factor	2.11	24.62
Ulcer Index	0.02	0.0
Serenity Index	1.65	3.19
Avg. Up Month	1.14%	0.58%
Avg. Down Month	-	-
Win Days	57.57%	89.99%
Win Month	78.85%	90.38%
Win Quarter	78.95%	94.74%
Win Year	80.0%	100.0%
Beta	-1.67	-
Alpha	0.18	-
Correlation	-5.82%	-
Treynor Ratio	-21.05%	-