AKSF RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2022 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	96.0%
Cumulative Return	0.9%	1.23%
CAGR﹪	11.11%	15.53%
Sharpe	0.56	23.03
Prob. Sharpe Ratio	56.69%	-
Smart Sharpe	0.48	19.53
Sortino	0.94	-
Smart Sortino	0.8	-
Sortino/√2	0.66	-
Smart Sortino/√2	0.56	-
Omega	1.11	1.11
Max Drawdown	-5.98%	-
Longest DD Days	-	-
Volatility (ann.)	21.18%	0.58%
R^2	0.03	0.03
Information Ratio	-0.0	-0.0
Calmar	1.86	-
Skew	0.65	1.58
Kurtosis	1.18	1.28
Expected Daily	0.04%	0.05%
Expected Monthly	0.45%	0.61%
Expected Yearly	0.9%	1.23%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.15%	-0.01%
Expected Shortfall (cVaR)	-2.15%	-0.01%
Max Consecutive Wins	3	22
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.11	-
Gain/Pain (1M)	0.53	-
Payoff Ratio	-	-
Profit Factor	1.11	-
Common Sense Ratio	1.19	-
CPC Index	-	-
Tail Ratio	1.07	3.59
Outlier Win Ratio	1.64	30.95
Outlier Loss Ratio	1.43	-
MTD	3.01%	0.71%
3M	0.9%	1.23%
6M	0.9%	1.23%
YTD	0.9%	1.23%
1Y	0.9%	1.23%
3Y (ann.)	11.11%	15.53%
5Y (ann.)	11.11%	15.53%
10Y (ann.)	11.11%	15.53%
All-time (ann.)	11.11%	15.53%
Best Day	3.42%	0.13%
Worst Day	-2.42%	0.0%
Best Month	3.01%	0.71%
Worst Month	-2.05%	0.52%
Best Year	0.9%	1.23%
Worst Year	0.9%	1.23%
Avg. Drawdown	-5.98%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.15	-
Ulcer Index	0.04	0.0
Serenity Index	0.04	-
Avg. Up Month	3.01%	0.71%
Avg. Down Month	-	-
Win Days	42.86%	100.0%
Win Month	50.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-6.68	-
Alpha	1.02	-
Correlation	-18.42%	-
Treynor Ratio	-0.13%	-