AKQU RUB[Strategy] vs [Benchmark] MCFTR RUB

15 Dec, 2022 - 10 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	88.0%	95.0%
Cumulative Return	16.73%	58.51%
CAGR﹪	4.54%	14.12%
Sharpe	0.2	0.39
Prob. Sharpe Ratio	5.2%	24.41%
Smart Sharpe	0.14	0.27
Sortino	0.37	0.58
Smart Sortino	0.25	0.4
Sortino/√2	0.26	0.41
Smart Sortino/√2	0.18	0.28
Omega	1.07	1.07
Max Drawdown	-52.3%	-27.13%
Longest DD Days	1038	469
Volatility (ann.)	55.15%	18.75%
R^2	0.03	0.03
Information Ratio	0.0	0.0
Calmar	0.09	0.52
Skew	7.36	0.55
Kurtosis	167.76	5.35
Expected Daily	0.02%	0.05%
Expected Monthly	0.36%	1.08%
Expected Yearly	3.14%	9.65%
Kelly Criterion	1.25%	5.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.64%	-1.89%
Expected Shortfall (cVaR)	-5.64%	-1.89%
Max Consecutive Wins	9	9
Max Consecutive Losses	6	14
Gain/Pain Ratio	0.11	0.15
Gain/Pain (1M)	0.73	0.77
Payoff Ratio	1.02	0.93
Profit Factor	1.11	1.15
Common Sense Ratio	1.07	1.1
CPC Index	0.57	0.58
Tail Ratio	0.96	0.96
Outlier Win Ratio	4.03	6.42
Outlier Loss Ratio	3.36	5.36
MTD	-2.44%	-1.63%
3M	-10.31%	-11.33%
6M	-6.46%	-3.49%
YTD	-7.06%	-5.86%
1Y	-4.27%	-0.73%
3Y (ann.)	-8.45%	3.52%
5Y (ann.)	4.54%	14.12%
10Y (ann.)	4.54%	14.12%
All-time (ann.)	4.54%	14.12%
Best Day	65.24%	9.2%
Worst Day	-37.87%	-4.1%
Best Month	44.02%	13.91%
Worst Month	-40.91%	-9.94%
Best Year	12.76%	53.84%
Worst Year	-7.06%	-5.86%
Avg. Drawdown	-7.06%	-2.56%
Avg. Drawdown Days	86	26
Recovery Factor	0.32	2.16
Ulcer Index	0.22	0.11
Serenity Index	0.04	0.29
Avg. Up Month	5.11%	5.14%
Avg. Down Month	-6.04%	-4.04%
Win Days	50.18%	54.69%
Win Month	53.49%	58.14%
Win Quarter	53.33%	66.67%
Win Year	60.0%	80.0%
Beta	0.53	-
Alpha	0.1	-
Correlation	18.11%	-
Treynor Ratio	18.27%	-