AKMB RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

4 Jun, 2020 - 3 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	79.0%
Cumulative Return	68.33%	-100.0%
CAGR﹪	10.79%	-100.0%
Sharpe	1.22	-0.28
Prob. Sharpe Ratio	98.68%	19.97%
Smart Sharpe	1.08	-0.25
Sortino	1.64	-0.29
Smart Sortino	1.45	-0.26
Sortino/√2	1.16	-0.21
Smart Sortino/√2	1.03	-0.18
Omega	1.37	1.37
Max Drawdown	-16.61%	-100.0%
Longest DD Days	246	633
Volatility (ann.)	8.84%	47.74%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.65	-1.0
Skew	-4.28	-29.02
Kurtosis	124.52	967.01
Expected Daily	0.04%	-100.0%
Expected Monthly	0.86%	-100.0%
Expected Yearly	9.07%	-100.0%
Kelly Criterion	17.08%	-24.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.87%	-5.0%
Expected Shortfall (cVaR)	-0.87%	-5.0%
Max Consecutive Wins	15	9
Max Consecutive Losses	12	12
Gain/Pain Ratio	0.37	-0.15
Gain/Pain (1M)	2.21	-0.38
Payoff Ratio	1.04	0.66
Profit Factor	1.37	0.85
Common Sense Ratio	1.74	0.84
CPC Index	0.82	0.28
Tail Ratio	1.27	0.99
Outlier Win Ratio	7.92	4.22
Outlier Loss Ratio	7.49	2.29
MTD	0.34%	0.0%
3M	5.67%	0.0%
6M	19.61%	0.0%
YTD	19.61%	0.0%
1Y	24.66%	0.0%
3Y (ann.)	13.32%	-100.0%
5Y (ann.)	10.81%	-100.0%
10Y (ann.)	10.79%	-100.0%
All-time (ann.)	10.79%	-100.0%
Best Day	6.66%	10.7%
Worst Day	-10.58%	-100.0%
Best Month	7.66%	19.77%
Worst Month	-9.27%	-100.0%
Best Year	19.61%	29.27%
Worst Year	3.4%	-100.0%
Avg. Drawdown	-0.57%	-8.64%
Avg. Drawdown Days	10	85
Recovery Factor	4.11	-1.0
Ulcer Index	0.03	0.48
Serenity Index	3.04	-0.07
Avg. Up Month	1.12%	4.04%
Avg. Down Month	-1.13%	-19.12%
Win Days	57.78%	50.2%
Win Month	81.97%	56.25%
Win Quarter	86.36%	64.71%
Win Year	100.0%	60.0%
Beta	-0.0	-
Alpha	0.11	-
Correlation	-1.78%	-
Treynor Ratio	-20725.52%	-