AKQU RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

16 Dec, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	99.0%
Cumulative Return	37.49%	42.21%
CAGR﹪	26.4%	29.58%
Sharpe	0.72	1.93
Prob. Sharpe Ratio	80.12%	98.34%
Smart Sharpe	0.48	1.27
Sortino	1.35	3.2
Smart Sortino	0.89	2.11
Sortino/√2	0.95	2.26
Smart Sortino/√2	0.63	1.49
Omega	1.25	1.25
Max Drawdown	-52.3%	-12.75%
Longest DD Days	262	199
Volatility (ann.)	95.76%	16.8%
R^2	0.03	0.03
Information Ratio	0.02	0.02
Calmar	0.5	2.32
Skew	4.53	0.67
Kurtosis	58.82	4.25
Expected Daily	0.11%	0.12%
Expected Monthly	1.89%	2.09%
Expected Yearly	11.2%	12.45%
Kelly Criterion	3.55%	16.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-9.65%	-1.61%
Expected Shortfall (cVaR)	-9.65%	-1.61%
Max Consecutive Wins	10	7
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.25	0.44
Gain/Pain (1M)	2.68	2.82
Payoff Ratio	0.92	1.22
Profit Factor	1.25	1.44
Common Sense Ratio	1.06	1.9
CPC Index	0.62	0.94
Tail Ratio	0.85	1.32
Outlier Win Ratio	3.71	11.23
Outlier Loss Ratio	2.65	10.61
MTD	2.76%	-0.59%
3M	15.82%	3.76%
6M	-3.19%	-1.57%
YTD	21.66%	1.75%
1Y	6.36%	13.04%
3Y (ann.)	26.4%	29.58%
5Y (ann.)	26.4%	29.58%
10Y (ann.)	26.4%	29.58%
All-time (ann.)	26.4%	29.58%
Best Day	65.24%	4.84%
Worst Day	-37.87%	-3.22%
Best Month	44.02%	11.64%
Worst Month	-40.91%	-5.22%
Best Year	21.66%	25.2%
Worst Year	4.14%	1.75%
Avg. Drawdown	-7.06%	-2.35%
Avg. Drawdown Days	31	22
Recovery Factor	0.72	3.31
Ulcer Index	0.17	0.06
Serenity Index	0.41	0.71
Avg. Up Month	10.06%	4.84%
Avg. Down Month	-23.87%	-4.6%
Win Days	53.67%	53.9%
Win Month	76.47%	64.71%
Win Quarter	71.43%	71.43%
Win Year	100.0%	100.0%
Beta	0.97	-
Alpha	0.38	-
Correlation	17.1%	-
Treynor Ratio	38.46%	-