AKSC RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

24 Sep, 2021 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-18.61%	33.2%
CAGR﹪	-10.04%	15.88%
Sharpe	0.04	0.7
Prob. Sharpe Ratio	52.17%	78.3%
Smart Sharpe	0.04	0.65
Sortino	0.05	0.87
Smart Sortino	0.05	0.81
Sortino/√2	0.04	0.62
Smart Sortino/√2	0.03	0.57
Omega	1.01	1.01
Max Drawdown	-59.17%	-39.65%
Longest DD Days	703	488
Volatility (ann.)	49.77%	33.62%
R^2	0.51	0.51
Information Ratio	-0.04	-0.04
Calmar	-0.17	0.4
Skew	-5.5	-6.33
Kurtosis	75.01	103.78
Expected Daily	-0.05%	0.07%
Expected Monthly	-0.89%	1.25%
Expected Yearly	-6.63%	10.03%
Kelly Criterion	-5.38%	5.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.15%	-3.39%
Expected Shortfall (cVaR)	-5.15%	-3.39%
Max Consecutive Wins	7	9
Max Consecutive Losses	9	7
Gain/Pain Ratio	0.01	0.21
Gain/Pain (1M)	0.03	0.8
Payoff Ratio	0.89	0.97
Profit Factor	1.01	1.21
Common Sense Ratio	1.12	1.31
CPC Index	0.45	0.63
Tail Ratio	1.11	1.08
Outlier Win Ratio	3.57	6.23
Outlier Loss Ratio	2.81	5.4
MTD	3.07%	0.88%
3M	18.08%	18.86%
6M	19.51%	28.08%
YTD	45.96%	38.58%
1Y	60.81%	59.9%
3Y (ann.)	-10.04%	15.88%
5Y (ann.)	-10.04%	15.88%
10Y (ann.)	-10.04%	15.88%
All-time (ann.)	-10.04%	15.88%
Best Day	11.11%	10.7%
Worst Day	-41.73%	-30.28%
Best Month	31.94%	19.77%
Worst Month	-35.13%	-25.9%
Best Year	45.96%	38.58%
Worst Year	-40.54%	-6.4%
Avg. Drawdown	-31.99%	-4.41%
Avg. Drawdown Days	352	42
Recovery Factor	-0.31	0.84
Ulcer Index	0.37	0.19
Serenity Index	-0.03	0.11
Avg. Up Month	7.97%	6.04%
Avg. Down Month	-18.88%	-9.98%
Win Days	50.49%	53.35%
Win Month	60.87%	69.57%
Win Quarter	66.67%	88.89%
Win Year	33.33%	66.67%
Beta	1.06	-
Alpha	-0.23	-
Correlation	71.48%	-
Treynor Ratio	-17.59%	-