MBEQ RUB[Strategy] vs AKQU RUB[Benchmark]

7 Dec, 2022 - 26 May, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	95.0%
Cumulative Return	35.04%	28.58%
CAGR﹪	90.58%	71.55%
Sharpe	3.72	2.98
Prob. Sharpe Ratio	92.41%	86.2%
Smart Sharpe	2.79	2.24
Sortino	7.54	6.21
Smart Sortino	5.67	4.66
Sortino/√2	5.33	4.39
Smart Sortino/√2	4.01	3.3
Omega	1.91	1.91
Max Drawdown	-6.54%	-8.86%
Longest DD Days	35	50
Volatility (ann.)	38.62%	40.52%
R^2	0.01	0.01
Information Ratio	0.03	0.03
Calmar	13.85	8.08
Skew	1.01	1.7
Kurtosis	2.74	7.05
Expected Daily	0.57%	0.48%
Expected Monthly	5.13%	4.28%
Expected Yearly	16.21%	13.39%
Kelly Criterion	26.96%	8.46%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.4%	-3.69%
Expected Shortfall (cVaR)	-3.4%	-3.69%
Max Consecutive Wins	4	5
Max Consecutive Losses	4	5
Gain/Pain Ratio	0.97	0.85
Gain/Pain (1M)	11.11	4.68
Payoff Ratio	1.38	1.1
Profit Factor	1.97	1.85
Common Sense Ratio	2.55	2.41
CPC Index	1.56	1.06
Tail Ratio	1.29	1.3
Outlier Win Ratio	3.92	4.05
Outlier Loss Ratio	2.52	2.86
MTD	12.19%	-2.88%
3M	29.81%	1.37%
6M	35.04%	28.58%
YTD	28.96%	14.35%
1Y	35.04%	28.58%
3Y (ann.)	90.58%	71.55%
5Y (ann.)	90.58%	71.55%
10Y (ann.)	90.58%	71.55%
All-time (ann.)	90.58%	71.55%
Best Day	9.88%	11.93%
Worst Day	-3.29%	-4.43%
Best Month	12.19%	12.44%
Worst Month	-2.86%	-3.06%
Best Year	28.96%	14.35%
Worst Year	4.71%	12.44%
Avg. Drawdown	-2.63%	-3.56%
Avg. Drawdown Days	10	21
Recovery Factor	5.36	3.23
Ulcer Index	0.02	0.04
Serenity Index	6.33	1.96
Avg. Up Month	5.16%	9.59%
Avg. Down Month	-	-
Win Days	57.69%	52.0%
Win Month	83.33%	66.67%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.08	-
Alpha	1.4	-
Correlation	8.85%	-
Treynor Ratio	332.51%	-