AKQU RUB[Strategy] vs MCFTR RUB[Benchmark]

14 Dec, 2022 - 16 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	94.0%	100.0%
Cumulative Return	26.0%	66.59%
CAGR﹪	7.76%	17.94%
Sharpe	-2.92	-9.04
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.99	-6.15
Sortino	-4.58	-8.67
Smart Sortino	-3.12	-5.9
Sortino/√2	-3.24	-6.13
Smart Sortino/√2	-2.2	-4.17
Omega	0.42	0.42
Max Drawdown	-52.3%	-27.13%
Longest DD Days	893	324
Volatility (ann.)	62.61%	20.88%
R^2	0.02	0.02
Information Ratio	0.01	0.01
Calmar	0.15	0.66
Skew	6.5	0.42
Kurtosis	130.22	4.12
Expected Daily	0.03%	0.07%
Expected Monthly	0.61%	1.35%
Expected Yearly	4.73%	10.75%
Kelly Criterion	-0.17%	7.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.39%	-2.08%
Expected Shortfall (cVaR)	-6.39%	-2.08%
Max Consecutive Wins	10	9
Max Consecutive Losses	7	14
Gain/Pain Ratio	0.14	0.18
Gain/Pain (1M)	0.93	0.95
Payoff Ratio	0.99	0.9
Profit Factor	1.14	1.18
Common Sense Ratio	1.08	1.18
CPC Index	0.57	0.6
Tail Ratio	0.95	0.99
Outlier Win Ratio	3.47	6.11
Outlier Loss Ratio	3.3	5.32
MTD	1.14%	0.47%
3M	7.06%	9.39%
6M	1.4%	4.35%
YTD	1.14%	0.47%
1Y	-3.59%	4.39%
3Y (ann.)	1.49%	17.56%
5Y (ann.)	7.76%	17.94%
10Y (ann.)	7.76%	17.94%
All-time (ann.)	7.76%	17.94%
Best Day	65.24%	9.2%
Worst Day	-37.87%	-4.1%
Best Month	44.02%	13.91%
Worst Month	-40.91%	-10.13%
Best Year	12.76%	54.34%
Worst Year	-3.29%	0.47%
Avg. Drawdown	-6.65%	-2.93%
Avg. Drawdown Days	71	28
Recovery Factor	0.5	2.45
Ulcer Index	0.21	0.11
Serenity Index	-3.58	-3.7
Avg. Up Month	5.17%	5.21%
Avg. Down Month	-7.03%	-4.6%
Win Days	50.07%	56.31%
Win Month	57.89%	63.16%
Win Quarter	64.29%	71.43%
Win Year	80.0%	100.0%
Beta	0.46	-
Alpha	0.17	-
Correlation	15.2%	-
Treynor Ratio	-1479.31%	-