AKQU RUB[Strategy] vs [Benchmark] MCFTR RUB

15 Dec, 2022 - 2 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	83.0%	99.0%
Cumulative Return	24.37%	62.02%
CAGR﹪	9.25%	21.62%
Sharpe	0.33	0.74
Prob. Sharpe Ratio	12.15%	48.14%
Smart Sharpe	0.22	0.5
Sortino	0.6	1.11
Smart Sortino	0.41	0.75
Sortino/√2	0.42	0.78
Smart Sortino/√2	0.29	0.53
Omega	1.11	1.11
Max Drawdown	-52.3%	-27.13%
Longest DD Days	665	273
Volatility (ann.)	66.28%	19.53%
R^2	0.02	0.02
Information Ratio	0.01	0.01
Calmar	0.18	0.8
Skew	6.25	0.67
Kurtosis	118.29	5.92
Expected Daily	0.03%	0.08%
Expected Monthly	0.71%	1.57%
Expected Yearly	5.6%	12.82%
Kelly Criterion	-0.22%	7.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.75%	-1.94%
Expected Shortfall (cVaR)	-6.75%	-1.94%
Max Consecutive Wins	9	9
Max Consecutive Losses	6	14
Gain/Pain Ratio	0.15	0.22
Gain/Pain (1M)	1.06	1.14
Payoff Ratio	0.99	0.88
Profit Factor	1.15	1.22
Common Sense Ratio	1.07	1.12
CPC Index	0.57	0.61
Tail Ratio	0.93	0.92
Outlier Win Ratio	4.05	7.2
Outlier Loss Ratio	2.99	5.95
MTD	0.69%	0.0%
3M	-13.8%	-11.19%
6M	4.52%	12.82%
YTD	-4.24%	-0.96%
1Y	-10.15%	-4.96%
3Y (ann.)	9.25%	21.62%
5Y (ann.)	9.25%	21.62%
10Y (ann.)	9.25%	21.62%
All-time (ann.)	9.25%	21.62%
Best Day	65.24%	9.2%
Worst Day	-37.87%	-3.97%
Best Month	44.02%	13.91%
Worst Month	-40.91%	-9.94%
Best Year	12.76%	53.84%
Worst Year	-4.24%	-0.96%
Avg. Drawdown	-7.06%	-2.56%
Avg. Drawdown Days	60	18
Recovery Factor	0.47	2.29
Ulcer Index	0.21	0.1
Serenity Index	0.1	0.37
Avg. Up Month	5.85%	5.75%
Avg. Down Month	-7.92%	-4.64%
Win Days	50.1%	56.89%
Win Month	58.06%	63.33%
Win Quarter	63.64%	72.73%
Win Year	75.0%	75.0%
Beta	0.49	-
Alpha	0.18	-
Correlation	14.53%	-
Treynor Ratio	35.24%	-