AKME RUB[Strategy] vs [Benchmark] AKREI RUB

5 Jul, 2021 - 31 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	55.0%
Cumulative Return	46.99%	-2.25%
CAGR﹪	7.5%	-0.43%
Sharpe	0.13	-0.17
Prob. Sharpe Ratio	5.24%	1.07%
Smart Sharpe	0.13	-0.17
Sortino	0.17	-0.21
Smart Sortino	0.17	-0.21
Sortino/√2	0.12	-0.15
Smart Sortino/√2	0.12	-0.14
Omega	1.02	1.02
Max Drawdown	-51.24%	-55.98%
Longest DD Days	678	897
Volatility (ann.)	24.0%	23.9%
R^2	0.43	0.43
Information Ratio	0.02	0.02
Calmar	0.15	-0.01
Skew	-1.81	-6.9
Kurtosis	23.67	188.38
Expected Daily	0.03%	-0.0%
Expected Monthly	0.6%	-0.04%
Expected Yearly	6.63%	-0.38%
Kelly Criterion	-0.79%	-5.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.45%	-2.47%
Expected Shortfall (cVaR)	-2.45%	-2.47%
Max Consecutive Wins	11	15
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.08	0.04
Gain/Pain (1M)	0.36	0.15
Payoff Ratio	0.83	0.75
Profit Factor	1.08	1.04
Common Sense Ratio	1.06	0.99
CPC Index	0.49	0.43
Tail Ratio	0.98	0.95
Outlier Win Ratio	3.34	8.06
Outlier Loss Ratio	3.65	3.4
MTD	10.27%	0.0%
3M	12.26%	0.0%
6M	1.33%	0.0%
YTD	-4.29%	0.0%
1Y	3.6%	0.0%
3Y (ann.)	6.3%	-1.7%
5Y (ann.)	7.46%	-1.11%
10Y (ann.)	7.5%	-0.43%
All-time (ann.)	7.5%	-0.43%
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	-4.52%	-5.34%
Avg. Drawdown Days	52	104
Recovery Factor	0.92	-0.04
Ulcer Index	0.2	0.25
Serenity Index	0.08	-0.01
Avg. Up Month	5.87%	5.21%
Avg. Down Month	-8.78%	-9.81%
Win Days	54.38%	55.03%
Win Month	62.5%	65.79%
Win Quarter	63.64%	53.85%
Win Year	66.67%	50.0%
Beta	0.66	-
Alpha	0.08	-
Correlation	65.35%	-
Treynor Ratio	60.97%	-