AKQU RUB[Strategy] vs MCFTR RUB[Benchmark]

14 Dec, 2022 - 18 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	94.0%	100.0%
Cumulative Return	18.47%	53.38%
CAGR﹪	5.95%	15.71%
Sharpe	-2.86	-9.03
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.94	-6.14
Sortino	-4.5	-8.66
Smart Sortino	-3.06	-5.89
Sortino/√2	-3.18	-6.12
Smart Sortino/√2	-2.16	-4.16
Omega	0.43	0.43
Max Drawdown	-52.3%	-27.13%
Longest DD Days	834	273
Volatility (ann.)	64.31%	21.12%
R^2	0.02	0.02
Information Ratio	0.01	0.01
Calmar	0.11	0.58
Skew	6.34	0.42
Kurtosis	123.6	4.12
Expected Daily	0.02%	0.06%
Expected Monthly	0.47%	1.2%
Expected Yearly	4.33%	11.29%
Kelly Criterion	-1.36%	6.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.56%	-2.12%
Expected Shortfall (cVaR)	-6.56%	-2.12%
Max Consecutive Wins	10	9
Max Consecutive Losses	7	14
Gain/Pain Ratio	0.13	0.16
Gain/Pain (1M)	0.85	0.81
Payoff Ratio	0.98	0.86
Profit Factor	1.13	1.16
Common Sense Ratio	1.06	1.15
CPC Index	0.55	0.57
Tail Ratio	0.94	0.99
Outlier Win Ratio	3.49	6.38
Outlier Loss Ratio	3.26	5.27
MTD	1.58%	1.5%
3M	-13.45%	-14.27%
6M	-4.61%	-4.25%
YTD	-8.03%	-4.78%
1Y	-6.17%	2.22%
3Y (ann.)	5.59%	16.29%
5Y (ann.)	5.95%	15.71%
10Y (ann.)	5.95%	15.71%
All-time (ann.)	5.95%	15.71%
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	-8.03%	-4.78%
Avg. Drawdown	-6.65%	-2.93%
Avg. Drawdown Days	67	26
Recovery Factor	0.35	1.97
Ulcer Index	0.21	0.11
Serenity Index	-3.78	-3.88
Avg. Up Month	5.38%	5.31%
Avg. Down Month	-7.03%	-4.6%
Win Days	49.84%	56.89%
Win Month	55.56%	61.11%
Win Quarter	53.85%	61.54%
Win Year	75.0%	75.0%
Beta	0.45	-
Alpha	0.17	-
Correlation	14.91%	-
Treynor Ratio	-1501.08%	-