AKQU RUB[Strategy] vs [Benchmark] MCFTR RUB

15 Dec, 2022 - 21 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	86.0%	98.0%
Cumulative Return	27.48%	69.45%
CAGR﹪	8.13%	18.52%
Sharpe	0.28	0.59
Prob. Sharpe Ratio	8.3%	37.51%
Smart Sharpe	0.19	0.41
Sortino	0.51	0.88
Smart Sortino	0.35	0.6
Sortino/√2	0.36	0.62
Smart Sortino/√2	0.25	0.43
Omega	1.1	1.1
Max Drawdown	-52.3%	-27.13%
Longest DD Days	898	329
Volatility (ann.)	59.26%	19.69%
R^2	0.03	0.03
Information Ratio	0.01	0.01
Calmar	0.16	0.68
Skew	6.87	0.52
Kurtosis	145.59	4.88
Expected Daily	0.03%	0.07%
Expected Monthly	0.64%	1.4%
Expected Yearly	4.98%	11.12%
Kelly Criterion	0.83%	7.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.05%	-1.97%
Expected Shortfall (cVaR)	-6.05%	-1.97%
Max Consecutive Wins	9	9
Max Consecutive Losses	6	14
Gain/Pain Ratio	0.14	0.18
Gain/Pain (1M)	0.94	0.99
Payoff Ratio	1.0	0.91
Profit Factor	1.14	1.18
Common Sense Ratio	1.14	1.15
CPC Index	0.57	0.6
Tail Ratio	1.0	0.97
Outlier Win Ratio	3.97	6.35
Outlier Loss Ratio	3.15	5.37
MTD	1.5%	0.63%
3M	0.4%	1.59%
6M	-2.52%	0.91%
YTD	1.5%	0.63%
1Y	-3.22%	1.47%
3Y (ann.)	1.32%	17.31%
5Y (ann.)	8.13%	18.52%
10Y (ann.)	8.13%	18.52%
All-time (ann.)	8.13%	18.52%
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	-3.29%	0.63%
Avg. Drawdown	-7.06%	-2.56%
Avg. Drawdown Days	76	23
Recovery Factor	0.53	2.56
Ulcer Index	0.22	0.11
Serenity Index	0.1	0.36
Avg. Up Month	5.23%	5.27%
Avg. Down Month	-7.03%	-4.6%
Win Days	50.43%	55.73%
Win Month	57.89%	63.16%
Win Quarter	64.29%	71.43%
Win Year	80.0%	100.0%
Beta	0.53	-
Alpha	0.14	-
Correlation	17.45%	-
Treynor Ratio	38.98%	-