AKME[Strategy] vs RUB Inflation[Benchmark]

18 Dec, 2020 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	88.17%	50.25%
CAGR﹪	13.97%	8.79%
Sharpe	0.66	3.52
Prob. Sharpe Ratio	91.69%	100.0%
Smart Sharpe	0.65	3.49
Sortino	0.88	103.2
Smart Sortino	0.88	102.45
Sortino/√2	0.62	72.98
Smart Sortino/√2	0.62	72.44
Omega	1.13	1.13
Max Drawdown	-51.24%	-1.25%
Longest DD Days	678	209
Volatility (ann.)	24.63%	2.41%
R^2	0.03	0.03
Information Ratio	0.02	0.02
Calmar	0.27	7.0
Skew	-1.94	23.88
Kurtosis	24.69	580.33
Expected Daily	0.05%	0.03%
Expected Monthly	1.08%	0.69%
Expected Yearly	11.11%	7.02%
Kelly Criterion	11.56%	89.73%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.49%	-0.22%
Expected Shortfall (cVaR)	-2.49%	-0.22%
Max Consecutive Wins	11	748
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.13	24.56
Gain/Pain (1M)	0.62	24.56
Payoff Ratio	1.03	2.24
Profit Factor	1.13	25.56
Common Sense Ratio	1.14	88.81
CPC Index	0.64	53.31
Tail Ratio	1.01	3.47
Outlier Win Ratio	1.92	50.42
Outlier Loss Ratio	1.82	103.83
MTD	1.04%	0.2%
3M	0.11%	0.41%
6M	2.4%	1.53%
YTD	4.93%	4.51%
1Y	8.39%	7.79%
3Y (ann.)	30.3%	7.69%
5Y (ann.)	13.97%	8.79%
10Y (ann.)	13.97%	8.79%
All-time (ann.)	13.97%	8.79%
Best Day	7.68%	3.74%
Worst Day	-19.31%	-0.02%
Best Month	19.14%	7.61%
Worst Month	-27.94%	-0.52%
Best Year	77.81%	11.92%
Worst Year	-33.04%	0.74%
Avg. Drawdown	-3.22%	-0.83%
Avg. Drawdown Days	30	138
Recovery Factor	1.72	40.05
Ulcer Index	0.2	0.0
Serenity Index	0.17	44.35
Avg. Up Month	5.11%	0.83%
Avg. Down Month	-3.95%	-0.37%
Win Days	55.18%	92.9%
Win Month	67.8%	93.22%
Win Quarter	71.43%	95.24%
Win Year	83.33%	100.0%
Beta	1.71	-
Alpha	0.02	-
Correlation	16.76%	-
Treynor Ratio	51.56%	-