AKBC RUB[Strategy] vs LQDT 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%	1.94%
CAGR﹪	76.25%	23.66%
Sharpe	1.73	12.38
Prob. Sharpe Ratio	60.91%	-
Smart Sharpe	1.27	9.1
Sortino	2.83	66.92
Smart Sortino	2.08	49.18
Sortino/√2	2.0	47.32
Smart Sortino/√2	1.47	34.78
Omega	1.33	1.33
Max Drawdown	-8.13%	-0.01%
Longest DD Days	12	1
Volatility (ann.)	26.76%	0.96%
R^2	0.01	0.01
Information Ratio	0.08	0.08
Calmar	9.38	3981.6
Skew	0.03	1.08
Kurtosis	-0.72	0.59
Expected Daily	0.2%	0.07%
Expected Monthly	2.6%	0.96%
Expected Yearly	5.26%	1.94%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.56%	-0.03%
Expected Shortfall (cVaR)	-2.56%	-0.03%
Max Consecutive Wins	3	18
Max Consecutive Losses	4	1
Gain/Pain Ratio	0.39	323.3
Gain/Pain (1M)	2.85	-
Payoff Ratio	-	-
Profit Factor	1.39	324.3
Common Sense Ratio	1.63	-
CPC Index	-	-
Tail Ratio	1.18	-
Outlier Win Ratio	1.15	20.97
Outlier Loss Ratio	1.24	245.94
MTD	-2.02%	0.56%
3M	5.26%	1.94%
6M	5.26%	1.94%
YTD	5.26%	1.94%
1Y	5.26%	1.94%
3Y (ann.)	76.25%	23.66%
5Y (ann.)	76.25%	23.66%
10Y (ann.)	76.25%	23.66%
All-time (ann.)	76.25%	23.66%
Best Day	3.11%	0.23%
Worst Day	-3.13%	-0.01%
Best Month	7.43%	1.38%
Worst Month	-2.02%	0.56%
Best Year	5.26%	1.94%
Worst Year	5.26%	1.94%
Avg. Drawdown	-2.27%	-0.01%
Avg. Drawdown Days	3	1
Recovery Factor	0.65	326.22
Ulcer Index	0.03	0.0
Serenity Index	-0.13	-58325.62
Avg. Up Month	7.43%	1.38%
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	2.22	-
Alpha	0.12	-
Correlation	7.94%	-
Treynor Ratio	-0.79%	-