BCSB RUB[Strategy] vs [Benchmark] RUEYBCSTR RUB

30 Mar, 2021 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	96.0%
Cumulative Return	47.34%	54.72%
CAGR﹪	9.18%	10.39%
Sharpe	0.2	0.34
Prob. Sharpe Ratio	12.17%	39.91%
Smart Sharpe	0.14	0.23
Sortino	0.29	0.4
Smart Sortino	0.19	0.27
Sortino/√2	0.21	0.28
Smart Sortino/√2	0.14	0.19
Omega	1.07	1.07
Max Drawdown	-29.99%	-26.02%
Longest DD Days	253	238
Volatility (ann.)	20.03%	11.16%
R^2	0.4	0.4
Information Ratio	0.0	0.0
Calmar	0.31	0.4
Skew	0.87	-10.05
Kurtosis	272.5	223.3
Expected Daily	0.03%	0.04%
Expected Monthly	0.72%	0.81%
Expected Yearly	8.06%	9.12%
Kelly Criterion	-1.72%	20.02%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.03%	-1.11%
Expected Shortfall (cVaR)	-2.03%	-1.11%
Max Consecutive Wins	9	21
Max Consecutive Losses	6	12
Gain/Pain Ratio	0.2	0.5
Gain/Pain (1M)	2.61	1.5
Payoff Ratio	0.79	0.74
Profit Factor	1.2	1.5
Common Sense Ratio	1.46	2.02
CPC Index	0.52	0.73
Tail Ratio	1.22	1.35
Outlier Win Ratio	3.63	8.55
Outlier Loss Ratio	3.04	5.97
MTD	2.17%	2.17%
3M	11.04%	11.72%
6M	18.08%	18.55%
YTD	23.34%	24.23%
1Y	24.44%	25.66%
3Y (ann.)	15.13%	16.52%
5Y (ann.)	9.18%	10.39%
10Y (ann.)	9.18%	10.39%
All-time (ann.)	9.18%	10.39%
Best Day	25.56%	7.63%
Worst Day	-24.07%	-13.4%
Best Month	6.35%	9.57%
Worst Month	-9.42%	-11.48%
Best Year	23.34%	24.23%
Worst Year	2.47%	3.63%
Avg. Drawdown	-1.11%	-0.72%
Avg. Drawdown Days	14	13
Recovery Factor	1.58	2.1
Ulcer Index	0.04	0.04
Serenity Index	1.8	1.35
Avg. Up Month	1.69%	1.79%
Avg. Down Month	-2.39%	-2.8%
Win Days	55.11%	65.98%
Win Month	75.47%	77.78%
Win Quarter	73.68%	78.95%
Win Year	100.0%	100.0%
Beta	1.14	-
Alpha	-0.01	-
Correlation	63.25%	-
Treynor Ratio	35.53%	-