AKVG RUB[Strategy] vs AKGD RUB[Benchmark]

28 Dec, 2021 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	99.0%
Cumulative Return	4.43%	40.34%
CAGR﹪	2.61%	22.28%
Sharpe	0.31	0.7
Prob. Sharpe Ratio	22.23%	41.83%
Smart Sharpe	0.29	0.67
Sortino	0.38	0.85
Smart Sortino	0.36	0.8
Sortino/√2	0.27	0.6
Smart Sortino/√2	0.25	0.57
Omega	1.07	1.07
Max Drawdown	-56.44%	-38.1%
Longest DD Days	542	388
Volatility (ann.)	61.19%	33.4%
R^2	0.32	0.32
Information Ratio	-0.01	-0.01
Calmar	0.05	0.58
Skew	-5.24	-6.32
Kurtosis	66.97	85.06
Expected Daily	0.01%	0.1%
Expected Monthly	0.22%	1.71%
Expected Yearly	1.46%	11.96%
Kelly Criterion	6.48%	5.21%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.24%	-3.34%
Expected Shortfall (cVaR)	-6.24%	-3.34%
Max Consecutive Wins	7	7
Max Consecutive Losses	6	8
Gain/Pain Ratio	0.1	0.23
Gain/Pain (1M)	0.41	0.85
Payoff Ratio	0.96	0.87
Profit Factor	1.1	1.23
Common Sense Ratio	1.18	1.36
CPC Index	0.57	0.6
Tail Ratio	1.07	1.1
Outlier Win Ratio	2.91	5.18
Outlier Loss Ratio	2.56	4.69
MTD	-6.03%	1.18%
3M	19.45%	17.01%
6M	54.17%	35.37%
YTD	84.91%	47.12%
1Y	90.62%	79.77%
3Y (ann.)	2.61%	22.28%
5Y (ann.)	2.61%	22.28%
10Y (ann.)	2.61%	22.28%
All-time (ann.)	2.61%	22.28%
Best Day	17.17%	7.22%
Worst Day	-47.31%	-27.62%
Best Month	30.74%	17.11%
Worst Month	-40.86%	-27.8%
Best Year	84.91%	47.12%
Worst Year	-43.58%	-4.66%
Avg. Drawdown	-13.99%	-5.08%
Avg. Drawdown Days	99	44
Recovery Factor	0.08	1.06
Ulcer Index	0.37	0.21
Serenity Index	-0.0	0.09
Avg. Up Month	8.64%	6.99%
Avg. Down Month	-20.9%	-12.3%
Win Days	54.26%	55.87%
Win Month	70.0%	75.0%
Win Quarter	75.0%	87.5%
Win Year	66.67%	66.67%
Beta	1.04	-
Alpha	-0.06	-
Correlation	56.97%	-
Treynor Ratio	-2.46%	-