AKQU RUB[Strategy] vs [Benchmark] MCFTR RUB

15 Dec, 2022 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	85.0%	100.0%
Cumulative Return	24.61%	65.34%
CAGR﹪	8.05%	19.36%
Sharpe	0.29	0.63
Prob. Sharpe Ratio	9.62%	40.47%
Smart Sharpe	0.2	0.43
Sortino	0.53	0.94
Smart Sortino	0.37	0.65
Sortino/√2	0.38	0.67
Smart Sortino/√2	0.26	0.46
Omega	1.1	1.1
Max Drawdown	-52.3%	-27.13%
Longest DD Days	802	273
Volatility (ann.)	62.1%	19.89%
R^2	0.03	0.03
Information Ratio	0.01	0.01
Calmar	0.15	0.71
Skew	6.59	0.6
Kurtosis	133.15	4.98
Expected Daily	0.03%	0.07%
Expected Monthly	0.63%	1.45%
Expected Yearly	5.65%	13.4%
Kelly Criterion	-0.5%	7.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.34%	-1.98%
Expected Shortfall (cVaR)	-6.34%	-1.98%
Max Consecutive Wins	9	9
Max Consecutive Losses	6	14
Gain/Pain Ratio	0.14	0.19
Gain/Pain (1M)	0.96	1.03
Payoff Ratio	0.99	0.89
Profit Factor	1.14	1.19
Common Sense Ratio	1.16	1.12
CPC Index	0.56	0.59
Tail Ratio	1.02	0.94
Outlier Win Ratio	3.95	6.51
Outlier Loss Ratio	3.02	5.4
MTD	1.49%	1.94%
3M	-1.59%	1.24%
6M	-0.99%	1.35%
YTD	-4.05%	1.08%
1Y	-0.52%	6.91%
3Y (ann.)	8.05%	19.36%
5Y (ann.)	8.05%	19.36%
10Y (ann.)	8.05%	19.36%
All-time (ann.)	8.05%	19.36%
Best Day	65.24%	9.2%
Worst Day	-37.87%	-3.98%
Best Month	44.02%	13.91%
Worst Month	-40.91%	-9.94%
Best Year	12.76%	53.84%
Worst Year	-4.05%	1.08%
Avg. Drawdown	-7.06%	-2.56%
Avg. Drawdown Days	70	21
Recovery Factor	0.47	2.41
Ulcer Index	0.21	0.1
Serenity Index	0.09	0.37
Avg. Up Month	5.42%	5.4%
Avg. Down Month	-7.27%	-4.54%
Win Days	50.0%	56.43%
Win Month	57.14%	62.86%
Win Quarter	61.54%	69.23%
Win Year	75.0%	100.0%
Beta	0.52	-
Alpha	0.15	-
Correlation	16.6%	-
Treynor Ratio	33.97%	-