AKBC RUB[Strategy] vs AMNR RUB[Benchmark]

7 Apr, 2025 - 10 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	85.0%	85.0%
Cumulative Return	5.26%	1.93%
CAGR﹪	76.25%	23.58%
Sharpe	1.73	12.47
Prob. Sharpe Ratio	60.91%	-
Smart Sharpe	1.27	9.17
Sortino	2.83	70.55
Smart Sortino	2.08	51.85
Sortino/√2	2.0	49.89
Smart Sortino/√2	1.47	36.66
Omega	1.33	1.33
Max Drawdown	-8.13%	-
Longest DD Days	-	-
Volatility (ann.)	26.76%	0.95%
R^2	0.01	0.01
Information Ratio	0.08	0.08
Calmar	9.38	-
Skew	0.03	1.12
Kurtosis	-0.72	0.67
Expected Daily	0.2%	0.07%
Expected Monthly	2.6%	0.96%
Expected Yearly	5.26%	1.93%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.56%	-0.02%
Expected Shortfall (cVaR)	-2.56%	-0.02%
Max Consecutive Wins	3	18
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.39	-
Gain/Pain (1M)	2.85	-
Payoff Ratio	-	-
Profit Factor	1.39	-
Common Sense Ratio	1.63	-
CPC Index	-	-
Tail Ratio	1.18	-
Outlier Win Ratio	1.15	21.94
Outlier Loss Ratio	1.23	-
MTD	-2.02%	0.56%
3M	5.26%	1.93%
6M	5.26%	1.93%
YTD	5.26%	1.93%
1Y	5.26%	1.93%
3Y (ann.)	76.25%	23.58%
5Y (ann.)	76.25%	23.58%
10Y (ann.)	76.25%	23.58%
All-time (ann.)	76.25%	23.58%
Best Day	3.11%	0.22%
Worst Day	-3.13%	0.0%
Best Month	7.43%	1.36%
Worst Month	-2.02%	0.56%
Best Year	5.26%	1.93%
Worst Year	5.26%	1.93%
Avg. Drawdown	-2.27%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.65	-
Ulcer Index	0.03	0.0
Serenity Index	-0.13	-
Avg. Up Month	7.43%	1.36%
Avg. Down Month	-	-
Win Days	45.45%	100.0%
Win Month	50.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	2.42	-
Alpha	0.08	-
Correlation	8.56%	-
Treynor Ratio	-0.72%	-