AKMB RUB[Strategy] vs MCFTR RUB[Benchmark]

10 Jun, 2020 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	69.39%	46.16%
CAGR﹪	10.93%	7.76%
Sharpe	-22.36	-6.91
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-19.77	-6.11
Sortino	-13.26	-7.05
Smart Sortino	-11.72	-6.23
Sortino/√2	-9.38	-4.99
Smart Sortino/√2	-8.29	-4.41
Omega	0.03	0.03
Max Drawdown	-16.61%	-53.53%
Longest DD Days	246	1215
Volatility (ann.)	8.85%	28.5%
R^2	0.25	0.25
Information Ratio	-0.0	-0.0
Calmar	0.66	0.14
Skew	-4.28	-4.09
Kurtosis	124.32	108.89
Expected Daily	0.04%	0.03%
Expected Monthly	0.87%	0.62%
Expected Yearly	9.18%	6.53%
Kelly Criterion	11.88%	-3.04%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.87%	-2.91%
Expected Shortfall (cVaR)	-0.87%	-2.91%
Max Consecutive Wins	15	11
Max Consecutive Losses	12	14
Gain/Pain Ratio	0.37	0.1
Gain/Pain (1M)	2.24	0.47
Payoff Ratio	0.91	0.76
Profit Factor	1.37	1.1
Common Sense Ratio	1.76	1.08
CPC Index	0.73	0.47
Tail Ratio	1.28	0.98
Outlier Win Ratio	8.88	2.52
Outlier Loss Ratio	8.62	2.27
MTD	1.11%	-3.02%
3M	7.88%	3.49%
6M	18.97%	0.79%
YTD	20.52%	-1.55%
1Y	25.79%	-4.08%
3Y (ann.)	13.66%	21.03%
5Y (ann.)	10.9%	6.02%
10Y (ann.)	10.93%	7.76%
All-time (ann.)	10.93%	7.76%
Best Day	6.66%	20.04%
Worst Day	-10.58%	-33.28%
Best Month	7.66%	15.56%
Worst Month	-9.27%	-30.02%
Best Year	20.52%	53.84%
Worst Year	3.4%	-37.26%
Avg. Drawdown	-0.58%	-3.49%
Avg. Drawdown Days	10	43
Recovery Factor	4.18	0.86
Ulcer Index	0.03	0.23
Serenity Index	-28.01	-1.17
Avg. Up Month	1.51%	5.52%
Avg. Down Month	-3.18%	-11.15%
Win Days	57.9%	55.34%
Win Month	81.97%	59.02%
Win Quarter	86.36%	59.09%
Win Year	100.0%	66.67%
Beta	0.16	-
Alpha	0.09	-
Correlation	50.46%	-
Treynor Ratio	-4024.32%	-