BCSB RUB[Strategy] vs [Benchmark] RUEYBCSTR RUB

30 Mar, 2021 - 19 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	97.0%
Cumulative Return	67.92%	81.84%
CAGR﹪	10.09%	11.73%
Sharpe	0.25	0.48
Prob. Sharpe Ratio	13.67%	51.72%
Smart Sharpe	0.17	0.32
Sortino	0.36	0.56
Smart Sortino	0.24	0.38
Sortino/√2	0.25	0.4
Smart Sortino/√2	0.17	0.27
Omega	1.09	1.09
Max Drawdown	-29.99%	-26.02%
Longest DD Days	253	238
Volatility (ann.)	18.28%	10.24%
R^2	0.39	0.39
Information Ratio	-0.0	-0.0
Calmar	0.34	0.45
Skew	0.93	-10.63
Kurtosis	321.03	257.32
Expected Daily	0.04%	0.04%
Expected Monthly	0.79%	0.91%
Expected Yearly	9.02%	10.48%
Kelly Criterion	-0.79%	22.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.85%	-1.02%
Expected Shortfall (cVaR)	-1.85%	-1.02%
Max Consecutive Wins	9	21
Max Consecutive Losses	9	12
Gain/Pain Ratio	0.23	0.58
Gain/Pain (1M)	3.17	1.99
Payoff Ratio	0.8	0.75
Profit Factor	1.23	1.58
Common Sense Ratio	1.45	2.07
CPC Index	0.54	0.79
Tail Ratio	1.18	1.31
Outlier Win Ratio	3.59	8.02
Outlier Loss Ratio	3.1	5.78
MTD	0.81%	0.59%
3M	3.04%	3.59%
6M	9.97%	10.5%
YTD	11.29%	12.96%
1Y	14.36%	17.74%
3Y (ann.)	14.25%	16.44%
5Y (ann.)	10.6%	12.09%
10Y (ann.)	10.09%	11.73%
All-time (ann.)	10.09%	11.73%
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	26.31%	29.26%
Worst Year	2.47%	3.63%
Avg. Drawdown	-0.99%	-0.67%
Avg. Drawdown Days	13	12
Recovery Factor	2.26	3.15
Ulcer Index	0.03	0.03
Serenity Index	2.99	2.37
Avg. Up Month	1.63%	1.76%
Avg. Down Month	-2.25%	-2.57%
Win Days	55.13%	66.67%
Win Month	76.92%	80.3%
Win Quarter	78.26%	82.61%
Win Year	100.0%	100.0%
Beta	1.12	-
Alpha	-0.02	-
Correlation	62.85%	-
Treynor Ratio	54.32%	-