AKMB[Strategy] vs RUB Inflation[Benchmark]

2 Jun, 2020 - 2 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	83.7%	43.05%
CAGR﹪	11.68%	6.72%
Sharpe	1.33	20.23
Prob. Sharpe Ratio	99.35%	100.0%
Smart Sharpe	1.18	17.99
Sortino	1.8	85.93
Smart Sortino	1.6	76.44
Sortino/√2	1.27	60.76
Smart Sortino/√2	1.13	54.05
Omega	1.4	1.4
Max Drawdown	-16.61%	-1.25%
Longest DD Days	246	209
Volatility (ann.)	8.5%	0.32%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	0.7	5.36
Skew	-4.36	-0.09
Kurtosis	131.98	0.18
Expected Daily	0.04%	0.03%
Expected Monthly	0.93%	0.54%
Expected Yearly	10.67%	6.15%
Kelly Criterion	17.7%	85.92%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.84%	-0.01%
Expected Shortfall (cVaR)	-0.84%	-0.01%
Max Consecutive Wins	15	748
Max Consecutive Losses	12	65
Gain/Pain Ratio	0.4	20.19
Gain/Pain (1M)	2.41	20.19
Payoff Ratio	1.07	2.16
Profit Factor	1.4	21.19
Common Sense Ratio	1.74	87.29
CPC Index	0.86	41.4
Tail Ratio	1.24	4.12
Outlier Win Ratio	2.56	22.86
Outlier Loss Ratio	2.02	41.49
MTD	-0.15%	0.03%
3M	1.95%	1.28%
6M	12.24%	1.67%
YTD	30.14%	5.29%
1Y	39.72%	6.68%
3Y (ann.)	15.01%	7.62%
5Y (ann.)	11.73%	7.03%
10Y (ann.)	11.68%	6.72%
All-time (ann.)	11.68%	6.72%
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	30.14%	9.51%
Worst Year	3.4%	2.44%
Avg. Drawdown	-0.56%	-0.59%
Avg. Drawdown Days	10	113
Recovery Factor	5.04	34.31
Ulcer Index	0.02	0.0
Serenity Index	3.87	5.77
Avg. Up Month	1.61%	0.62%
Avg. Down Month	-	-
Win Days	57.45%	90.37%
Win Month	80.3%	90.91%
Win Quarter	86.96%	95.65%
Win Year	100.0%	100.0%
Beta	-0.62	-
Alpha	0.15	-
Correlation	-2.31%	-
Treynor Ratio	-135.79%	-