AKMM[Strategy] vs RUB Inflation[Benchmark]

14 Jul, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	18.74%	10.46%
CAGR﹪	10.11%	5.73%
Sharpe	17.61	18.91
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	17.0	18.26
Sortino	134.61	48.31
Smart Sortino	129.96	46.64
Sortino/√2	95.19	34.16
Smart Sortino/√2	91.89	32.98
Omega	47.33	47.33
Max Drawdown	-0.05%	-0.88%
Longest DD Days	3	150
Volatility (ann.)	0.54%	0.29%
R^2	0.04	0.04
Information Ratio	0.45	0.45
Calmar	191.74	6.55
Skew	1.5	-1.04
Kurtosis	4.18	1.24
Expected Daily	0.04%	0.02%
Expected Monthly	0.78%	0.45%
Expected Yearly	5.89%	3.37%
Kelly Criterion	93.42%	85.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.02%	-0.01%
Expected Shortfall (cVaR)	-0.02%	-0.01%
Max Consecutive Wins	76	420
Max Consecutive Losses	1	34
Gain/Pain Ratio	46.33	11.31
Gain/Pain (1M)	-	11.31
Payoff Ratio	4.42	1.01
Profit Factor	47.33	12.31
Common Sense Ratio	1866.99	22.41
CPC Index	197.81	11.49
Tail Ratio	39.45	1.82
Outlier Win Ratio	2.39	3.78
Outlier Loss Ratio	1.73	1.08
MTD	1.04%	0.37%
3M	3.86%	1.65%
6M	7.7%	4.41%
YTD	4.76%	2.32%
1Y	12.59%	7.77%
3Y (ann.)	10.11%	5.73%
5Y (ann.)	10.11%	5.73%
10Y (ann.)	10.11%	5.73%
All-time (ann.)	10.11%	5.73%
Best Day	0.23%	0.05%
Worst Day	-0.05%	-0.03%
Best Month	1.37%	1.11%
Worst Month	0.3%	-0.52%
Best Year	9.74%	7.42%
Worst Year	3.29%	0.5%
Avg. Drawdown	-0.02%	-0.88%
Avg. Drawdown Days	2	150
Recovery Factor	355.43	11.94
Ulcer Index	0.0	0.0
Serenity Index	17829.04	1.08
Avg. Up Month	0.82%	0.54%
Avg. Down Month	-	-
Win Days	94.64%	92.51%
Win Month	100.0%	90.91%
Win Quarter	100.0%	87.5%
Win Year	100.0%	100.0%
Beta	0.37	-
Alpha	0.08	-
Correlation	19.68%	-
Treynor Ratio	51.33%	-