AKBC RUB[Strategy] vs BCSD 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%	89.0%
Cumulative Return	5.26%	1.99%
CAGR﹪	76.25%	24.36%
Sharpe	1.73	13.99
Prob. Sharpe Ratio	60.91%	-
Smart Sharpe	1.27	10.28
Sortino	2.83	59.44
Smart Sortino	2.08	43.68
Sortino/√2	2.0	42.03
Smart Sortino/√2	1.47	30.89
Omega	1.33	1.33
Max Drawdown	-8.13%	-0.02%
Longest DD Days	12	1
Volatility (ann.)	26.76%	0.88%
R^2	0.01	0.01
Information Ratio	0.08	0.08
Calmar	9.38	1400.29
Skew	0.03	0.4
Kurtosis	-0.72	0.01
Expected Daily	0.2%	0.08%
Expected Monthly	2.6%	0.99%
Expected Yearly	5.26%	1.99%
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	13
Max Consecutive Losses	4	1
Gain/Pain Ratio	0.39	113.37
Gain/Pain (1M)	2.85	-
Payoff Ratio	-	-
Profit Factor	1.39	114.37
Common Sense Ratio	1.63	-
CPC Index	-	-
Tail Ratio	1.18	-
Outlier Win Ratio	1.14	20.2
Outlier Loss Ratio	1.24	84.27
MTD	-2.02%	0.55%
3M	5.26%	1.99%
6M	5.26%	1.99%
YTD	5.26%	1.99%
1Y	5.26%	1.99%
3Y (ann.)	76.25%	24.36%
5Y (ann.)	76.25%	24.36%
10Y (ann.)	76.25%	24.36%
All-time (ann.)	76.25%	24.36%
Best Day	3.11%	0.21%
Worst Day	-3.13%	-0.02%
Best Month	7.43%	1.43%
Worst Month	-2.02%	0.55%
Best Year	5.26%	1.99%
Worst Year	5.26%	1.99%
Avg. Drawdown	-2.27%	-0.02%
Avg. Drawdown Days	3	1
Recovery Factor	0.65	114.43
Ulcer Index	0.03	0.0
Serenity Index	-0.13	-12745.44
Avg. Up Month	7.43%	1.43%
Avg. Down Month	-	-
Win Days	45.45%	95.65%
Win Month	50.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-3.19	-
Alpha	1.14	-
Correlation	-10.52%	-
Treynor Ratio	0.55%	-