BCSR RUB[Strategy] vs [Benchmark] MCFTR RUB

27 Nov, 2024 - 17 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	96.0%
Cumulative Return	17.42%	17.18%
CAGR﹪	40.89%	40.28%
Sharpe	1.05	1.04
Prob. Sharpe Ratio	54.7%	54.6%
Smart Sharpe	0.98	0.98
Sortino	1.68	1.78
Smart Sortino	1.58	1.67
Sortino/√2	1.19	1.26
Smart Sortino/√2	1.12	1.18
Omega	1.2	1.2
Max Drawdown	-18.69%	-20.31%
Longest DD Days	88	80
Volatility (ann.)	29.31%	29.05%
R^2	0.48	0.48
Information Ratio	0.0	0.0
Calmar	2.19	1.98
Skew	0.78	1.24
Kurtosis	2.91	4.58
Expected Daily	0.13%	0.13%
Expected Monthly	2.32%	2.29%
Expected Yearly	8.36%	8.25%
Kelly Criterion	11.69%	11.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.89%	-2.86%
Expected Shortfall (cVaR)	-2.89%	-2.86%
Max Consecutive Wins	6	5
Max Consecutive Losses	4	14
Gain/Pain Ratio	0.25	0.25
Gain/Pain (1M)	1.81	1.68
Payoff Ratio	1.05	1.18
Profit Factor	1.25	1.25
Common Sense Ratio	1.46	1.47
CPC Index	0.72	0.77
Tail Ratio	1.17	1.17
Outlier Win Ratio	4.18	4.06
Outlier Loss Ratio	2.54	2.84
MTD	-2.15%	-2.59%
3M	-9.46%	-10.41%
6M	17.42%	17.18%
YTD	1.06%	-0.56%
1Y	17.42%	17.18%
3Y (ann.)	40.89%	40.28%
5Y (ann.)	40.89%	40.28%
10Y (ann.)	40.89%	40.28%
All-time (ann.)	40.89%	40.28%
Best Day	8.43%	9.2%
Worst Day	-4.2%	-3.49%
Best Month	14.42%	13.91%
Worst Month	-6.46%	-5.85%
Best Year	16.19%	17.84%
Worst Year	1.06%	-0.56%
Avg. Drawdown	-4.68%	-4.06%
Avg. Drawdown Days	18	16
Recovery Factor	0.93	0.85
Ulcer Index	0.08	0.08
Serenity Index	0.17	0.15
Avg. Up Month	7.08%	7.16%
Avg. Down Month	-3.52%	-3.74%
Win Days	54.78%	52.14%
Win Month	57.14%	57.14%
Win Quarter	66.67%	66.67%
Win Year	100.0%	50.0%
Beta	0.7	-
Alpha	0.12	-
Correlation	69.54%	-
Treynor Ratio	14.86%	-