AKPP RUB[Strategy] vs Deposit RUB[Benchmark]

26 Feb, 2025 - 23 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	99.0%
Cumulative Return	5.96%	7.92%
CAGR﹪	19.8%	26.86%
Sharpe	0.94	19.09
Prob. Sharpe Ratio	70.46%	100.0%
Smart Sharpe	0.77	15.62
Sortino	1.48	-
Smart Sortino	1.21	-
Sortino/√2	1.05	-
Smart Sortino/√2	0.86	-
Omega	1.18	1.18
Max Drawdown	-9.99%	-
Longest DD Days	-	-
Volatility (ann.)	21.56%	1.24%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	1.98	-
Skew	0.45	5.92
Kurtosis	1.66	35.39
Expected Daily	0.07%	0.09%
Expected Monthly	1.16%	1.54%
Expected Yearly	5.96%	7.92%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.15%	-0.03%
Expected Shortfall (cVaR)	-2.15%	-0.03%
Max Consecutive Wins	4	80
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.18	-
Gain/Pain (1M)	0.77	-
Payoff Ratio	-	-
Profit Factor	1.18	-
Common Sense Ratio	1.19	-
CPC Index	-	-
Tail Ratio	1.01	1.4
Outlier Win Ratio	2.33	24.83
Outlier Loss Ratio	1.62	-
MTD	12.08%	1.57%
3M	7.83%	5.42%
6M	5.96%	7.92%
YTD	5.96%	7.92%
1Y	5.96%	7.92%
3Y (ann.)	19.8%	26.86%
5Y (ann.)	19.8%	26.86%
10Y (ann.)	19.8%	26.86%
All-time (ann.)	19.8%	26.86%
Best Day	4.43%	0.58%
Worst Day	-3.27%	0.0%
Best Month	12.08%	1.69%
Worst Month	-5.99%	1.15%
Best Year	5.96%	7.92%
Worst Year	5.96%	7.92%
Avg. Drawdown	-3.31%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.6	-
Ulcer Index	0.06	0.0
Serenity Index	0.13	-
Avg. Up Month	7.69%	1.59%
Avg. Down Month	-	-
Win Days	51.9%	100.0%
Win Month	40.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.44	-
Alpha	0.1	-
Correlation	2.52%	-
Treynor Ratio	13.63%	-