AKVG RUB[Strategy] vs FXIT RUB[Benchmark]

24 Nov, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	99.0%
Cumulative Return	-8.14%	-15.35%
CAGR﹪	-28.32%	-48.02%
Sharpe	-1.15	-2.43
Prob. Sharpe Ratio	15.58%	3.2%
Smart Sharpe	-1.04	-2.2
Sortino	-1.62	-2.83
Smart Sortino	-1.47	-2.57
Sortino/√2	-1.14	-2.0
Smart Sortino/√2	-1.04	-1.82
Omega	0.82	0.82
Max Drawdown	-17.27%	-19.17%
Longest DD Days	87	51
Volatility (ann.)	30.57%	27.77%
R^2	0.01	0.01
Information Ratio	0.05	0.05
Calmar	-1.64	-2.51
Skew	0.48	-1.66
Kurtosis	2.21	8.1
Expected Daily	-0.13%	-0.26%
Expected Monthly	-2.1%	-4.08%
Expected Yearly	-4.15%	-8.0%
Kelly Criterion	-27.76%	-9.86%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.28%	-3.12%
Expected Shortfall (cVaR)	-3.28%	-3.12%
Max Consecutive Wins	5	7
Max Consecutive Losses	6	5
Gain/Pain Ratio	-0.15	-0.33
Gain/Pain (1M)	-0.89	-0.83
Payoff Ratio	0.79	0.84
Profit Factor	0.85	0.67
Common Sense Ratio	0.57	0.79
CPC Index	0.29	0.28
Tail Ratio	0.67	1.19
Outlier Win Ratio	3.03	4.55
Outlier Loss Ratio	3.64	3.35
MTD	0.47%	-11.15%
3M	-8.14%	-15.35%
6M	-8.14%	-15.35%
YTD	-4.16%	-16.45%
1Y	-8.14%	-15.35%
3Y (ann.)	-28.32%	-48.02%
5Y (ann.)	-28.32%	-48.02%
10Y (ann.)	-28.32%	-48.02%
All-time (ann.)	-28.32%	-48.02%
Best Day	6.6%	3.26%
Worst Day	-4.89%	-8.84%
Best Month	0.47%	3.08%
Worst Month	-4.61%	-11.15%
Best Year	-4.15%	1.31%
Worst Year	-4.16%	-16.45%
Avg. Drawdown	-8.77%	-8.52%
Avg. Drawdown Days	45	29
Recovery Factor	-0.47	-0.8
Ulcer Index	0.1	0.07
Serenity Index	-0.19	-0.43
Avg. Up Month	-	-
Avg. Down Month	-2.85%	-3.84%
Win Days	43.75%	50.0%
Win Month	25.0%	25.0%
Win Quarter	0.0%	50.0%
Win Year	0.0%	50.0%
Beta	0.13	-
Alpha	-0.2	-
Correlation	11.67%	-
Treynor Ratio	-117.83%	-