AKSP RUB[Strategy] vs IMOEX RUB[Benchmark]

15 Jul, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	4.79%	-34.99%
CAGR﹪	7.88%	-50.27%
Sharpe	-5.4	-4.58
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-3.11	-2.63
Sortino	-6.41	-4.91
Smart Sortino	-3.69	-2.83
Sortino/√2	-4.53	-3.47
Smart Sortino/√2	-2.61	-2.0
Omega	0.29	0.29
Max Drawdown	-20.65%	-52.0%
Longest DD Days	108	127
Volatility (ann.)	36.08%	56.62%
R^2	0.31	0.31
Information Ratio	0.09	0.09
Calmar	0.38	-0.97
Skew	0.54	-4.18
Kurtosis	18.16	53.42
Expected Daily	0.03%	-0.27%
Expected Monthly	0.59%	-5.24%
Expected Yearly	2.37%	-19.37%
Kelly Criterion	-3.33%	-22.05%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.68%	-6.07%
Expected Shortfall (cVaR)	-3.68%	-6.07%
Max Consecutive Wins	7	6
Max Consecutive Losses	6	4
Gain/Pain Ratio	0.1	-0.23
Gain/Pain (1M)	1.0	-0.76
Payoff Ratio	1.0	0.64
Profit Factor	1.1	0.77
Common Sense Ratio	1.08	0.52
CPC Index	0.53	0.26
Tail Ratio	0.98	0.67
Outlier Win Ratio	4.83	4.75
Outlier Loss Ratio	6.95	4.2
MTD	-2.27%	-30.02%
3M	-3.8%	-37.47%
6M	2.16%	-36.47%
YTD	-5.9%	-34.77%
1Y	4.79%	-34.99%
3Y (ann.)	7.88%	-50.27%
5Y (ann.)	7.88%	-50.27%
10Y (ann.)	7.88%	-50.27%
All-time (ann.)	7.88%	-50.27%
Best Day	14.12%	20.04%
Worst Day	-12.97%	-33.28%
Best Month	5.1%	4.71%
Worst Month	-5.38%	-30.02%
Best Year	11.36%	-0.33%
Worst Year	-5.9%	-34.77%
Avg. Drawdown	-4.6%	-5.49%
Avg. Drawdown Days	23	16
Recovery Factor	0.23	-0.67
Ulcer Index	0.07	0.11
Serenity Index	-16.1	-10.49
Avg. Up Month	3.35%	2.52%
Avg. Down Month	-2.06%	-12.52%
Win Days	48.39%	52.23%
Win Month	50.0%	37.5%
Win Quarter	33.33%	33.33%
Win Year	50.0%	0.0%
Beta	0.35	-
Alpha	0.32	-
Correlation	55.69%	-
Treynor Ratio	-1958.82%	-