EQMX RUB[Strategy] vs [Benchmark] MCF2TR RUB

2 Aug, 2023 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	2.1%	4.52%
CAGR﹪	0.76%	1.62%
Sharpe	-0.18	-0.14
Prob. Sharpe Ratio	5.16%	5.89%
Smart Sharpe	-0.17	-0.13
Sortino	-0.26	-0.21
Smart Sortino	-0.25	-0.19
Sortino/√2	-0.19	-0.15
Smart Sortino/√2	-0.18	-0.14
Omega	0.97	0.97
Max Drawdown	-27.32%	-27.01%
Longest DD Days	436	429
Volatility (ann.)	21.28%	21.16%
R^2	0.97	0.97
Information Ratio	-0.01	-0.01
Calmar	0.03	0.06
Skew	0.77	0.66
Kurtosis	4.94	4.35
Expected Daily	0.0%	0.01%
Expected Monthly	0.06%	0.13%
Expected Yearly	0.52%	1.11%
Kelly Criterion	-0.14%	3.33%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.19%	-2.18%
Expected Shortfall (cVaR)	-2.19%	-2.18%
Max Consecutive Wins	9	8
Max Consecutive Losses	7	7
Gain/Pain Ratio	0.03	0.03
Gain/Pain (1M)	0.13	0.17
Payoff Ratio	0.96	0.96
Profit Factor	1.03	1.03
Common Sense Ratio	1.0	1.04
CPC Index	0.5	0.52
Tail Ratio	0.97	1.0
Outlier Win Ratio	3.8	3.89
Outlier Loss Ratio	3.21	3.14
MTD	-3.78%	-3.49%
3M	-4.54%	-5.08%
6M	7.81%	8.23%
YTD	-2.22%	-1.64%
1Y	-2.15%	-1.58%
3Y (ann.)	0.76%	1.62%
5Y (ann.)	0.76%	1.62%
10Y (ann.)	0.76%	1.62%
All-time (ann.)	0.76%	1.62%
Best Day	8.58%	8.81%
Worst Day	-4.94%	-5.06%
Best Month	13.54%	14.35%
Worst Month	-9.99%	-10.95%
Best Year	2.2%	2.68%
Worst Year	-2.22%	-1.64%
Avg. Drawdown	-4.24%	-4.64%
Avg. Drawdown Days	47	49
Recovery Factor	0.08	0.17
Ulcer Index	0.12	0.12
Serenity Index	-0.03	-0.01
Avg. Up Month	4.5%	4.6%
Avg. Down Month	-4.08%	-4.08%
Win Days	50.87%	52.65%
Win Month	48.48%	51.52%
Win Quarter	58.33%	58.33%
Win Year	75.0%	75.0%
Beta	0.99	-
Alpha	-0.01	-
Correlation	98.32%	-
Treynor Ratio	-4.96%	-