AKQU RUB[Strategy] vs [Benchmark] MCFTR RUB

15 Dec, 2022 - 3 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	76.0%	100.0%
Cumulative Return	41.83%	80.12%
CAGR﹪	28.74%	53.01%
Sharpe	-1.74	-13.07
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.16	-8.7
Sortino	-2.94	-10.58
Smart Sortino	-1.96	-7.04
Sortino/√2	-2.08	-7.48
Smart Sortino/√2	-1.38	-4.98
Omega	0.58	0.58
Max Drawdown	-52.3%	-7.89%
Longest DD Days	270	100
Volatility (ann.)	86.33%	12.69%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.55	6.72
Skew	5.03	-0.02
Kurtosis	72.86	1.89
Expected Daily	0.1%	0.17%
Expected Monthly	1.96%	3.32%
Expected Yearly	12.35%	21.67%
Kelly Criterion	-1.2%	27.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-8.71%	-1.14%
Expected Shortfall (cVaR)	-8.71%	-1.14%
Max Consecutive Wins	9	9
Max Consecutive Losses	3	5
Gain/Pain Ratio	0.26	0.81
Gain/Pain (1M)	2.79	11.38
Payoff Ratio	0.83	1.09
Profit Factor	1.26	1.81
Common Sense Ratio	1.1	2.2
CPC Index	0.57	1.23
Tail Ratio	0.87	1.22
Outlier Win Ratio	4.2	11.76
Outlier Loss Ratio	2.36	10.72
MTD	0.0%	-0.81%
3M	14.33%	6.84%
6M	5.06%	10.16%
YTD	23.15%	11.91%
1Y	8.92%	42.81%
3Y (ann.)	28.74%	53.01%
5Y (ann.)	28.74%	53.01%
10Y (ann.)	28.74%	53.01%
All-time (ann.)	28.74%	53.01%
Best Day	65.24%	3.2%
Worst Day	-37.87%	-2.95%
Best Month	44.02%	10.63%
Worst Month	-40.91%	-2.93%
Best Year	23.15%	53.84%
Worst Year	4.14%	4.62%
Avg. Drawdown	-7.06%	-1.5%
Avg. Drawdown Days	32	9
Recovery Factor	0.8	10.15
Ulcer Index	0.19	0.02
Serenity Index	-5.18	-54.76
Avg. Up Month	5.54%	4.89%
Avg. Down Month	-21.04%	-2.02%
Win Days	53.96%	62.39%
Win Month	76.47%	77.78%
Win Quarter	71.43%	100.0%
Win Year	100.0%	100.0%
Beta	0.09	-
Alpha	0.54	-
Correlation	1.37%	-
Treynor Ratio	-7057.53%	-