AKME[Strategy] vs INav[Benchmark]

23 Dec, 2020 - 1 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	85.78%	84.87%
CAGR﹪	13.35%	13.24%
Sharpe	0.37	0.36
Prob. Sharpe Ratio	15.9%	15.76%
Smart Sharpe	0.36	0.36
Sortino	0.48	0.46
Smart Sortino	0.48	0.46
Sortino/√2	0.34	0.33
Smart Sortino/√2	0.34	0.33
Omega	1.07	1.07
Max Drawdown	-51.24%	-51.01%
Longest DD Days	678	678
Volatility (ann.)	24.56%	25.95%
R^2	0.71	0.71
Information Ratio	-0.0	-0.0
Calmar	0.26	0.26
Skew	-1.92	-3.67
Kurtosis	24.49	72.14
Expected Daily	0.05%	0.05%
Expected Monthly	1.02%	1.01%
Expected Yearly	10.87%	10.78%
Kelly Criterion	3.66%	3.76%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-2.62%
Expected Shortfall (cVaR)	-2.48%	-2.62%
Max Consecutive Wins	11	10
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.13	0.14
Gain/Pain (1M)	0.59	0.66
Payoff Ratio	0.87	0.84
Profit Factor	1.13	1.14
Common Sense Ratio	1.13	1.13
CPC Index	0.54	0.53
Tail Ratio	1.0	0.99
Outlier Win Ratio	3.5	3.68
Outlier Loss Ratio	3.55	3.64
MTD	0.24%	0.28%
3M	-6.94%	-6.86%
6M	2.44%	1.92%
YTD	3.18%	4.04%
1Y	15.18%	15.25%
3Y (ann.)	28.61%	28.64%
5Y (ann.)	12.94%	12.98%
10Y (ann.)	13.35%	13.24%
All-time (ann.)	13.35%	13.24%
Best Day	7.68%	14.17%
Worst Day	-19.31%	-27.55%
Best Month	19.14%	20.28%
Worst Month	-27.94%	-24.52%
Best Year	77.81%	78.06%
Worst Year	-33.04%	-32.52%
Avg. Drawdown	-3.25%	-3.36%
Avg. Drawdown Days	32	34
Recovery Factor	1.67	1.66
Ulcer Index	0.2	0.2
Serenity Index	0.16	0.17
Avg. Up Month	5.22%	5.03%
Avg. Down Month	-6.48%	-6.2%
Win Days	55.11%	56.14%
Win Month	67.21%	65.57%
Win Quarter	66.67%	61.9%
Win Year	83.33%	83.33%
Beta	0.8	-
Alpha	0.03	-
Correlation	84.33%	-
Treynor Ratio	98.69%	-