AKUP[Strategy] vs INav[Benchmark]

14 Feb, 2024 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	99.0%
Cumulative Return	11.37%	12.71%
CAGR﹪	9.15%	10.21%
Sharpe	0.2	0.29
Prob. Sharpe Ratio	29.99%	38.37%
Smart Sharpe	0.17	0.26
Sortino	0.29	0.44
Smart Sortino	0.25	0.39
Sortino/√2	0.21	0.31
Smart Sortino/√2	0.18	0.27
Omega	1.04	1.04
Max Drawdown	-11.82%	-11.23%
Longest DD Days	235	224
Volatility (ann.)	15.34%	12.16%
R^2	0.55	0.55
Information Ratio	-0.0	-0.0
Calmar	0.77	0.91
Skew	0.12	0.6
Kurtosis	18.22	3.25
Expected Daily	0.03%	0.04%
Expected Monthly	0.68%	0.75%
Expected Yearly	5.53%	6.16%
Kelly Criterion	-1.17%	9.3%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.55%	-1.22%
Expected Shortfall (cVaR)	-1.55%	-1.22%
Max Consecutive Wins	5	10
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.13	0.16
Gain/Pain (1M)	0.89	0.94
Payoff Ratio	0.98	1.03
Profit Factor	1.13	1.16
Common Sense Ratio	1.26	1.3
CPC Index	0.56	0.65
Tail Ratio	1.11	1.12
Outlier Win Ratio	3.48	4.0
Outlier Loss Ratio	2.88	3.27
MTD	-0.78%	-0.75%
3M	0.61%	0.45%
6M	10.62%	10.31%
YTD	4.56%	4.16%
1Y	6.01%	6.33%
3Y (ann.)	9.15%	10.21%
5Y (ann.)	9.15%	10.21%
10Y (ann.)	9.15%	10.21%
All-time (ann.)	9.15%	10.21%
Best Day	7.02%	4.2%
Worst Day	-7.18%	-2.27%
Best Month	6.82%	6.96%
Worst Month	-4.28%	-3.66%
Best Year	6.51%	8.21%
Worst Year	4.56%	4.16%
Avg. Drawdown	-1.58%	-1.63%
Avg. Drawdown Days	17	19
Recovery Factor	0.96	1.13
Ulcer Index	0.05	0.04
Serenity Index	0.1	0.13
Avg. Up Month	3.24%	3.23%
Avg. Down Month	-2.01%	-1.98%
Win Days	49.83%	54.05%
Win Month	50.0%	56.25%
Win Quarter	50.0%	66.67%
Win Year	100.0%	100.0%
Beta	0.94	-
Alpha	0.0	-
Correlation	74.13%	-
Treynor Ratio	4.67%	-