AKMP RUB[Strategy] vs Deposit RUB[Benchmark]

25 Feb, 2025 - 14 Mar, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	93.0%
Cumulative Return	1.02%	3.05%
CAGR﹪	24.25%	90.64%
Sharpe	13.72	27.12
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	10.82	21.39
Sortino	67.74	-
Smart Sortino	53.43	-
Sortino/√2	47.9	-
Smart Sortino/√2	37.78	-
Omega	12.35	12.35
Max Drawdown	-0.06%	-
Longest DD Days	-	-
Volatility (ann.)	1.33%	2.0%
R^2	0.03	0.03
Information Ratio	-1.03	-1.03
Calmar	408.47	-
Skew	0.39	0.89
Kurtosis	-0.39	0.44
Expected Daily	0.07%	0.21%
Expected Monthly	0.51%	1.51%
Expected Yearly	1.02%	3.05%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.07%	-0.01%
Expected Shortfall (cVaR)	-0.07%	-0.01%
Max Consecutive Wins	5	13
Max Consecutive Losses	1	0
Gain/Pain Ratio	11.35	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	12.35	-
Common Sense Ratio	70.6	-
CPC Index	-	-
Tail Ratio	5.72	3.87
Outlier Win Ratio	3.3	1.54
Outlier Loss Ratio	0.54	-
MTD	0.76%	1.73%
3M	1.02%	3.05%
6M	1.02%	3.05%
YTD	1.02%	3.05%
1Y	1.02%	3.05%
3Y (ann.)	24.25%	90.64%
5Y (ann.)	24.25%	90.64%
10Y (ann.)	24.25%	90.64%
All-time (ann.)	24.25%	90.64%
Best Day	0.24%	0.43%
Worst Day	-0.06%	0.0%
Best Month	0.76%	1.73%
Worst Month	0.26%	1.3%
Best Year	1.02%	3.05%
Worst Year	1.02%	3.05%
Avg. Drawdown	-0.03%	-
Avg. Drawdown Days	-	-
Recovery Factor	17.12	-
Ulcer Index	0.0	0.0
Serenity Index	145.84	-
Avg. Up Month	0.51%	1.51%
Avg. Down Month	-	-
Win Days	76.92%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.11	-
Alpha	0.12	-
Correlation	17.05%	-
Treynor Ratio	8.97%	-