AKSC RUB[Strategy] vs RUMM RUB[Benchmark]

3 Aug, 2022 - 4 Jul, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	45.36%	47.64%
CAGR﹪	50.31%	52.88%
Sharpe	1.4	2.53
Prob. Sharpe Ratio	66.66%	94.34%
Smart Sharpe	1.31	2.37
Sortino	2.17	4.06
Smart Sortino	2.03	3.8
Sortino/√2	1.54	2.87
Smart Sortino/√2	1.44	2.68
Omega	1.26	1.26
Max Drawdown	-27.0%	-7.24%
Longest DD Days	143	64
Volatility (ann.)	34.04%	17.95%
R^2	0.15	0.15
Information Ratio	0.0	0.0
Calmar	1.86	7.3
Skew	0.23	0.12
Kurtosis	0.88	2.29
Expected Daily	0.19%	0.2%
Expected Monthly	3.17%	3.3%
Expected Yearly	20.57%	21.51%
Kelly Criterion	13.9%	16.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.31%	-1.65%
Expected Shortfall (cVaR)	-3.31%	-1.65%
Max Consecutive Wins	8	8
Max Consecutive Losses	8	7
Gain/Pain Ratio	0.3	0.69
Gain/Pain (1M)	1.76	7.58
Payoff Ratio	1.12	0.95
Profit Factor	1.3	1.69
Common Sense Ratio	1.46	1.83
CPC Index	0.79	0.95
Tail Ratio	1.13	1.08
Outlier Win Ratio	2.8	5.53
Outlier Loss Ratio	2.32	5.15
MTD	-0.17%	-0.42%
3M	12.36%	13.49%
6M	42.34%	29.36%
YTD	42.34%	29.36%
1Y	45.36%	47.64%
3Y (ann.)	50.31%	52.88%
5Y (ann.)	50.31%	52.88%
10Y (ann.)	50.31%	52.88%
All-time (ann.)	50.31%	52.88%
Best Day	7.83%	4.74%
Worst Day	-5.75%	-3.15%
Best Month	17.88%	13.52%
Worst Month	-14.77%	-3.04%
Best Year	42.34%	29.36%
Worst Year	2.12%	14.13%
Avg. Drawdown	-5.54%	-2.13%
Avg. Drawdown Days	24	13
Recovery Factor	1.68	6.58
Ulcer Index	0.1	0.03
Serenity Index	0.47	2.73
Avg. Up Month	9.01%	7.26%
Avg. Down Month	-7.35%	-1.33%
Win Days	54.5%	59.07%
Win Month	66.67%	58.33%
Win Quarter	60.0%	60.0%
Win Year	100.0%	100.0%
Beta	0.72	-
Alpha	0.17	-
Correlation	38.21%	-
Treynor Ratio	52.94%	-