AKPP RUB[Strategy] vs Deposit RUB[Benchmark]

26 Feb, 2025 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	99.0%
Cumulative Return	-7.16%	4.95%
CAGR﹪	-31.74%	28.21%
Sharpe	-1.74	15.25
Prob. Sharpe Ratio	21.89%	100.0%
Smart Sharpe	-1.18	10.33
Sortino	-2.2	-
Smart Sortino	-1.49	-
Sortino/√2	-1.55	-
Smart Sortino/√2	-1.05	-
Omega	0.73	0.73
Max Drawdown	-9.99%	-
Longest DD Days	-	-
Volatility (ann.)	19.99%	1.57%
R^2	0.0	0.0
Information Ratio	-0.18	-0.18
Calmar	-3.18	-
Skew	-0.08	4.78
Kurtosis	2.03	22.2
Expected Daily	-0.15%	0.09%
Expected Monthly	-1.84%	1.22%
Expected Yearly	-7.16%	4.95%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.21%	-0.07%
Expected Shortfall (cVaR)	-2.21%	-0.07%
Max Consecutive Wins	4	50
Max Consecutive Losses	3	0
Gain/Pain Ratio	-0.27	-
Gain/Pain (1M)	-0.83	-
Payoff Ratio	-	-
Profit Factor	0.73	-
Common Sense Ratio	0.42	-
CPC Index	-	-
Tail Ratio	0.57	1.07
Outlier Win Ratio	2.46	17.22
Outlier Loss Ratio	1.33	-
MTD	1.45%	0.37%
3M	-7.16%	4.95%
6M	-7.16%	4.95%
YTD	-7.16%	4.95%
1Y	-7.16%	4.95%
3Y (ann.)	-31.74%	28.21%
5Y (ann.)	-31.74%	28.21%
10Y (ann.)	-31.74%	28.21%
All-time (ann.)	-31.74%	28.21%
Best Day	4.02%	0.58%
Worst Day	-3.27%	0.0%
Best Month	1.45%	1.69%
Worst Month	-5.99%	0.37%
Best Year	-7.16%	4.95%
Worst Year	-7.16%	4.95%
Avg. Drawdown	-5.0%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.72	-
Ulcer Index	0.06	0.0
Serenity Index	-0.13	-
Avg. Up Month	1.45%	0.37%
Avg. Down Month	-	-
Win Days	55.1%	100.0%
Win Month	25.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.25	-
Alpha	-0.41	-
Correlation	1.97%	-
Treynor Ratio	-28.46%	-