AKQU RUB[Strategy] vs MCFTR RUB[Benchmark]

14 Dec, 2022 - 17 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	95.0%	100.0%
Cumulative Return	-5.76%	22.8%
CAGR﹪	-1.64%	5.88%
Sharpe	-3.36	-9.73
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.3	-6.66
Sortino	-5.15	-9.03
Smart Sortino	-3.53	-6.18
Sortino/√2	-3.64	-6.38
Smart Sortino/√2	-2.49	-4.37
Omega	0.38	0.38
Max Drawdown	-52.3%	-34.23%
Longest DD Days	1075	506
Volatility (ann.)	58.15%	20.62%
R^2	0.03	0.03
Information Ratio	0.01	0.01
Calmar	-0.03	0.17
Skew	6.93	0.29
Kurtosis	149.6	4.05
Expected Daily	-0.01%	0.02%
Expected Monthly	-0.13%	0.47%
Expected Yearly	-1.18%	4.19%
Kelly Criterion	-1.97%	2.05%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.97%	-2.1%
Expected Shortfall (cVaR)	-5.97%	-2.1%
Max Consecutive Wins	10	9
Max Consecutive Losses	7	14
Gain/Pain Ratio	0.08	0.07
Gain/Pain (1M)	0.41	0.3
Payoff Ratio	0.99	0.87
Profit Factor	1.08	1.07
Common Sense Ratio	1.05	1.0
CPC Index	0.52	0.51
Tail Ratio	0.97	0.93
Outlier Win Ratio	3.53	5.86
Outlier Loss Ratio	3.49	5.26
MTD	-13.34%	-15.57%
3M	-23.49%	-26.61%
6M	-25.21%	-26.29%
YTD	-24.35%	-25.94%
1Y	-24.97%	-23.64%
3Y (ann.)	-15.63%	-7.24%
5Y (ann.)	-1.64%	5.88%
10Y (ann.)	-1.64%	5.88%
All-time (ann.)	-1.64%	5.88%
Best Day	65.24%	9.2%
Worst Day	-37.87%	-4.2%
Best Month	44.02%	13.91%
Worst Month	-40.91%	-15.57%
Best Year	12.76%	54.34%
Worst Year	-24.35%	-25.94%
Avg. Drawdown	-6.65%	-3.32%
Avg. Drawdown Days	83	33
Recovery Factor	-0.11	0.67
Ulcer Index	0.22	0.12
Serenity Index	-3.21	-3.55
Avg. Up Month	5.08%	5.08%
Avg. Down Month	-6.79%	-5.05%
Win Days	49.38%	54.55%
Win Month	52.27%	56.82%
Win Quarter	50.0%	62.5%
Win Year	60.0%	80.0%
Beta	0.5	-
Alpha	0.09	-
Correlation	17.58%	-
Treynor Ratio	-1423.28%	-