AKMB RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

4 Jun, 2020 - 1 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	72.0%
Cumulative Return	97.79%	-100.0%
CAGR﹪	12.05%	-100.0%
Sharpe	1.43	-0.48
Prob. Sharpe Ratio	99.64%	3.35%
Smart Sharpe	1.28	-0.43
Sortino	1.94	-0.49
Smart Sortino	1.73	-0.44
Sortino/√2	1.37	-0.35
Smart Sortino/√2	1.22	-0.31
Omega	1.44	1.44
Max Drawdown	-16.61%	-100.0%
Longest DD Days	246	966
Volatility (ann.)	8.28%	60.26%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	0.73	-1.0
Skew	-4.43	-24.39
Kurtosis	137.51	641.36
Expected Daily	0.05%	-100.0%
Expected Monthly	0.95%	-100.0%
Expected Yearly	10.23%	-100.0%
Kelly Criterion	18.51%	-22.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.81%	-6.36%
Expected Shortfall (cVaR)	-0.81%	-6.36%
Max Consecutive Wins	15	9
Max Consecutive Losses	12	12
Gain/Pain Ratio	0.44	-0.29
Gain/Pain (1M)	2.67	-0.59
Payoff Ratio	1.07	0.7
Profit Factor	1.44	0.71
Common Sense Ratio	1.8	0.7
CPC Index	0.89	0.25
Tail Ratio	1.25	0.99
Outlier Win Ratio	7.76	4.64
Outlier Loss Ratio	7.82	1.87
MTD	0.08%	1.37%
3M	3.71%	-100.0%
6M	7.83%	-100.0%
YTD	6.24%	-100.0%
1Y	21.21%	-100.0%
3Y (ann.)	14.87%	-100.0%
5Y (ann.)	12.82%	-100.0%
10Y (ann.)	12.05%	-100.0%
All-time (ann.)	12.05%	-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	32.28%	29.27%
Worst Year	3.4%	-100.0%
Avg. Drawdown	-0.53%	-8.64%
Avg. Drawdown Days	9	101
Recovery Factor	5.89	-1.0
Ulcer Index	0.02	0.59
Serenity Index	4.72	-0.06
Avg. Up Month	1.14%	3.86%
Avg. Down Month	-1.13%	-19.12%
Win Days	57.94%	49.72%
Win Month	83.33%	56.6%
Win Quarter	88.0%	63.16%
Win Year	100.0%	50.0%
Beta	-0.0	-
Alpha	0.12	-
Correlation	-1.41%	-
Treynor Ratio	-50623.84%	-