AKME[Strategy] vs RUB Inflation[Benchmark]

18 Dec, 2020 - 16 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	90.61%	34.14%
CAGR﹪	21.38%	9.22%
Sharpe	0.93	3.1
Prob. Sharpe Ratio	93.59%	100.0%
Smart Sharpe	0.93	3.1
Sortino	1.19	103.53
Smart Sortino	1.19	103.47
Sortino/√2	0.84	73.21
Smart Sortino/√2	0.84	73.17
Omega	1.2	1.2
Max Drawdown	-51.24%	-1.25%
Longest DD Days	678	209
Volatility (ann.)	24.81%	2.92%
R^2	0.04	0.04
Information Ratio	0.04	0.04
Calmar	0.42	7.35
Skew	-3.07	19.82
Kurtosis	34.81	397.03
Expected Daily	0.08%	0.04%
Expected Monthly	1.59%	0.72%
Expected Yearly	13.77%	6.05%
Kelly Criterion	9.79%	88.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-0.27%
Expected Shortfall (cVaR)	-2.48%	-0.27%
Max Consecutive Wins	11	413
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.2	23.37
Gain/Pain (1M)	0.93	23.37
Payoff Ratio	0.89	2.45
Profit Factor	1.2	24.37
Common Sense Ratio	1.21	84.68
CPC Index	0.62	54.88
Tail Ratio	1.01	3.47
Outlier Win Ratio	1.85	42.45
Outlier Loss Ratio	1.92	105.62
MTD	1.66%	0.23%
3M	14.48%	1.81%
6M	26.86%	4.54%
YTD	20.55%	2.18%
1Y	85.07%	7.74%
3Y (ann.)	17.68%	9.18%
5Y (ann.)	21.38%	9.22%
10Y (ann.)	21.38%	9.22%
All-time (ann.)	21.38%	9.22%
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	-2.7%	-1.25%
Avg. Drawdown Days	24	209
Recovery Factor	1.77	27.21
Ulcer Index	0.23	0.0
Serenity Index	0.14	25.07
Avg. Up Month	5.28%	0.84%
Avg. Down Month	-3.95%	-0.37%
Win Days	57.56%	92.07%
Win Month	73.17%	92.68%
Win Quarter	73.33%	93.33%
Win Year	80.0%	100.0%
Beta	1.7	-
Alpha	0.08	-
Correlation	20.07%	-
Treynor Ratio	53.19%	-