BCSR RUB[Strategy] vs [Benchmark] MCFTR RUB

27 Nov, 2024 - 11 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	98.0%
Cumulative Return	24.12%	27.24%
CAGR﹪	18.32%	20.62%
Sharpe	0.52	0.61
Prob. Sharpe Ratio	36.05%	40.05%
Smart Sharpe	0.48	0.56
Sortino	0.82	0.96
Smart Sortino	0.75	0.88
Sortino/√2	0.58	0.68
Smart Sortino/√2	0.53	0.62
Omega	1.1	1.1
Max Drawdown	-21.51%	-20.62%
Longest DD Days	386	378
Volatility (ann.)	23.97%	23.53%
R^2	0.52	0.52
Information Ratio	-0.01	-0.01
Calmar	0.85	1.0
Skew	0.79	0.88
Kurtosis	3.62	4.86
Expected Daily	0.07%	0.07%
Expected Monthly	1.28%	1.43%
Expected Yearly	7.47%	8.36%
Kelly Criterion	5.9%	6.98%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.41%	-2.35%
Expected Shortfall (cVaR)	-2.41%	-2.35%
Max Consecutive Wins	6	8
Max Consecutive Losses	5	14
Gain/Pain Ratio	0.15	0.17
Gain/Pain (1M)	1.04	1.16
Payoff Ratio	1.04	1.07
Profit Factor	1.15	1.17
Common Sense Ratio	1.23	1.26
CPC Index	0.62	0.65
Tail Ratio	1.07	1.08
Outlier Win Ratio	3.9	3.81
Outlier Loss Ratio	2.8	3.07
MTD	1.95%	1.96%
3M	6.27%	6.83%
6M	-0.08%	0.47%
YTD	4.51%	4.89%
1Y	-4.14%	-3.2%
3Y (ann.)	18.32%	20.62%
5Y (ann.)	18.32%	20.62%
10Y (ann.)	18.32%	20.62%
All-time (ann.)	18.32%	20.62%
Best Day	8.43%	9.2%
Worst Day	-4.2%	-4.1%
Best Month	14.42%	13.91%
Worst Month	-7.55%	-7.26%
Best Year	16.19%	17.84%
Worst Year	2.22%	2.94%
Avg. Drawdown	-5.03%	-4.1%
Avg. Drawdown Days	55	49
Recovery Factor	1.12	1.32
Ulcer Index	0.12	0.11
Serenity Index	0.11	0.14
Avg. Up Month	4.98%	5.11%
Avg. Down Month	-4.14%	-4.17%
Win Days	51.95%	51.85%
Win Month	58.82%	64.71%
Win Quarter	66.67%	66.67%
Win Year	100.0%	100.0%
Beta	0.73	-
Alpha	0.04	-
Correlation	71.95%	-
Treynor Ratio	23.36%	-