AKBC RUB[Strategy] vs BNDC RUB[Benchmark]

29 Apr, 2025 - 10 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	60.0%	60.0%
Cumulative Return	-2.31%	0.87%
CAGR﹪	-54.01%	33.48%
Sharpe	-2.5	4.46
Prob. Sharpe Ratio	25.84%	96.26%
Smart Sharpe	-1.92	3.44
Sortino	-3.17	15.67
Smart Sortino	-2.44	12.07
Sortino/√2	-2.24	11.08
Smart Sortino/√2	-1.73	8.54
Omega	0.6	0.6
Max Drawdown	-5.63%	-0.16%
Longest DD Days	10	1
Volatility (ann.)	25.15%	3.41%
R^2	0.13	0.13
Information Ratio	-0.2	-0.2
Calmar	-9.59	211.48
Skew	-0.36	2.17
Kurtosis	0.76	5.88
Expected Daily	-0.23%	0.09%
Expected Monthly	-1.16%	0.44%
Expected Yearly	-2.31%	0.87%
Kelly Criterion	22.41%	76.76%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.83%	-0.27%
Expected Shortfall (cVaR)	-2.83%	-0.27%
Max Consecutive Wins	1	2
Max Consecutive Losses	2	1
Gain/Pain Ratio	-0.37	5.51
Gain/Pain (1M)	-1.0	-
Payoff Ratio	6.1	2.54
Profit Factor	0.63	6.51
Common Sense Ratio	0.45	31.84
CPC Index	1.28	13.76
Tail Ratio	0.71	4.89
Outlier Win Ratio	2.33	12.89
Outlier Loss Ratio	1.06	10.1
MTD	-2.02%	0.8%
3M	-2.31%	0.87%
6M	-2.31%	0.87%
YTD	-2.31%	0.87%
1Y	-2.31%	0.87%
3Y (ann.)	-54.01%	33.48%
5Y (ann.)	-54.01%	33.48%
10Y (ann.)	-54.01%	33.48%
All-time (ann.)	-54.01%	33.48%
Best Day	2.45%	0.64%
Worst Day	-3.13%	-0.16%
Best Month	-0.3%	0.8%
Worst Month	-2.02%	0.07%
Best Year	-2.31%	0.87%
Worst Year	-2.31%	0.87%
Avg. Drawdown	-5.63%	-0.16%
Avg. Drawdown Days	10	1
Recovery Factor	-0.41	5.52
Ulcer Index	0.03	0.0
Serenity Index	-0.84	-254.25
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	33.33%	83.33%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	2.68	-
Alpha	-1.15	-
Correlation	36.32%	-
Treynor Ratio	-3.48%	-