AKMD[Strategy] vs RUB Inflation[Benchmark]

28 Jun, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-17.62%	6.78%
CAGR﹪	-25.36%	10.4%
Sharpe	-0.94	21.94
Prob. Sharpe Ratio	21.95%	100.0%
Smart Sharpe	-0.72	16.89
Sortino	-1.25	-
Smart Sortino	-0.96	-
Sortino/√2	-0.88	-
Smart Sortino/√2	-0.68	-
Omega	0.85	0.85
Max Drawdown	-25.56%	-
Longest DD Days	-	-
Volatility (ann.)	26.68%	0.44%
R^2	0.02	0.02
Information Ratio	-0.08	-0.08
Calmar	-0.99	-
Skew	-0.19	3.71
Kurtosis	2.38	24.69
Expected Daily	-0.11%	0.04%
Expected Monthly	-2.13%	0.73%
Expected Yearly	-9.24%	3.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.86%	-0.01%
Expected Shortfall (cVaR)	-2.86%	-0.01%
Max Consecutive Wins	6	170
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.15	-
Gain/Pain (1M)	-0.68	-
Payoff Ratio	-	-
Profit Factor	0.85	-
Common Sense Ratio	0.72	-
CPC Index	-	-
Tail Ratio	0.84	8.37
Outlier Win Ratio	1.89	56.5
Outlier Loss Ratio	1.4	-
MTD	5.1%	1.17%
3M	-5.4%	3.2%
6M	-9.86%	5.82%
YTD	-3.54%	2.17%
1Y	-17.62%	6.78%
3Y (ann.)	-25.36%	10.4%
5Y (ann.)	-25.36%	10.4%
10Y (ann.)	-25.36%	10.4%
All-time (ann.)	-25.36%	10.4%
Best Day	5.91%	0.23%
Worst Day	-7.41%	0.0%
Best Month	5.1%	1.17%
Worst Month	-8.23%	0.17%
Best Year	-3.54%	4.51%
Worst Year	-14.6%	2.17%
Avg. Drawdown	-25.56%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.69	-
Ulcer Index	0.16	0.0
Serenity Index	-0.08	-
Avg. Up Month	3.83%	1.0%
Avg. Down Month	-	-
Win Days	49.7%	100.0%
Win Month	22.22%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-8.26	-
Alpha	0.55	-
Correlation	-13.65%	-
Treynor Ratio	2.13%	-