AKSP RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

15 Jul, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	4.79%	11.61%
CAGR﹪	7.88%	19.51%
Sharpe	0.39	1.15
Prob. Sharpe Ratio	62.01%	84.58%
Smart Sharpe	0.22	0.66
Sortino	0.57	2.34
Smart Sortino	0.33	1.35
Sortino/√2	0.41	1.65
Smart Sortino/√2	0.23	0.95
Omega	1.1	1.1
Max Drawdown	-20.65%	-6.9%
Longest DD Days	108	125
Volatility (ann.)	36.08%	16.42%
R^2	0.06	0.06
Information Ratio	-0.01	-0.01
Calmar	0.38	2.83
Skew	0.54	3.32
Kurtosis	18.16	23.98
Expected Daily	0.03%	0.07%
Expected Monthly	0.59%	1.38%
Expected Yearly	2.37%	5.65%
Kelly Criterion	13.82%	6.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.68%	-1.63%
Expected Shortfall (cVaR)	-3.68%	-1.63%
Max Consecutive Wins	7	5
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.1	0.27
Gain/Pain (1M)	1.0	2.51
Payoff Ratio	1.49	1.39
Profit Factor	1.1	1.27
Common Sense Ratio	1.08	2.18
CPC Index	0.79	0.81
Tail Ratio	0.98	1.72
Outlier Win Ratio	4.64	7.44
Outlier Loss Ratio	4.03	8.45
MTD	-2.27%	7.35%
3M	-3.8%	10.68%
6M	2.16%	12.57%
YTD	-5.9%	11.14%
1Y	4.79%	11.61%
3Y (ann.)	7.88%	19.51%
5Y (ann.)	7.88%	19.51%
10Y (ann.)	7.88%	19.51%
All-time (ann.)	7.88%	19.51%
Best Day	14.12%	8.19%
Worst Day	-12.97%	-2.64%
Best Month	5.1%	7.35%
Worst Month	-5.38%	-2.45%
Best Year	11.36%	11.14%
Worst Year	-5.9%	0.42%
Avg. Drawdown	-4.6%	-2.31%
Avg. Drawdown Days	23	19
Recovery Factor	0.23	1.68
Ulcer Index	0.07	0.03
Serenity Index	0.11	0.84
Avg. Up Month	4.36%	1.76%
Avg. Down Month	-2.78%	-1.14%
Win Days	48.39%	45.86%
Win Month	50.0%	62.5%
Win Quarter	33.33%	66.67%
Win Year	50.0%	100.0%
Beta	-0.55	-
Alpha	0.24	-
Correlation	-24.9%	-
Treynor Ratio	-8.75%	-