AKME RUB[Strategy] vs [Benchmark] AKREI RUB

5 Jul, 2021 - 1 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	75.0%
Cumulative Return	56.58%	-2.25%
CAGR﹪	11.38%	-0.55%
Sharpe	0.29	-0.11
Prob. Sharpe Ratio	13.76%	2.61%
Smart Sharpe	0.29	-0.11
Sortino	0.38	-0.14
Smart Sortino	0.38	-0.13
Sortino/√2	0.27	-0.1
Smart Sortino/√2	0.27	-0.1
Omega	1.06	1.06
Max Drawdown	-51.24%	-55.98%
Longest DD Days	678	897
Volatility (ann.)	25.59%	27.81%
R^2	0.51	0.51
Information Ratio	0.03	0.03
Calmar	0.22	-0.01
Skew	-2.05	-5.94
Kurtosis	24.32	138.63
Expected Daily	0.04%	-0.0%
Expected Monthly	0.88%	-0.04%
Expected Yearly	9.38%	-0.45%
Kelly Criterion	1.24%	-5.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.6%	-2.87%
Expected Shortfall (cVaR)	-2.6%	-2.87%
Max Consecutive Wins	11	15
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.11	0.04
Gain/Pain (1M)	0.49	0.15
Payoff Ratio	0.83	0.75
Profit Factor	1.11	1.04
Common Sense Ratio	1.12	0.96
CPC Index	0.51	0.43
Tail Ratio	1.01	0.92
Outlier Win Ratio	3.49	5.85
Outlier Loss Ratio	3.65	3.65
MTD	-0.07%	0.0%
3M	10.0%	0.0%
6M	-2.39%	0.0%
YTD	10.81%	0.0%
1Y	23.81%	0.0%
3Y (ann.)	42.32%	25.07%
5Y (ann.)	11.38%	-0.55%
10Y (ann.)	11.38%	-0.55%
All-time (ann.)	11.38%	-0.55%
Best Day	7.68%	18.68%
Worst Day	-19.31%	-33.18%
Best Month	19.14%	19.34%
Worst Month	-27.94%	-29.31%
Best Year	77.81%	63.66%
Worst Year	-33.04%	-39.13%
Avg. Drawdown	-4.13%	-5.34%
Avg. Drawdown Days	40	81
Recovery Factor	1.1	-0.04
Ulcer Index	0.22	0.27
Serenity Index	0.09	-0.01
Avg. Up Month	5.87%	5.21%
Avg. Down Month	-8.78%	-9.81%
Win Days	55.3%	55.03%
Win Month	64.71%	65.79%
Win Quarter	64.71%	53.85%
Win Year	80.0%	50.0%
Beta	0.66	-
Alpha	0.12	-
Correlation	71.3%	-
Treynor Ratio	75.59%	-