BCSR RUB[Strategy] vs [Benchmark] MCFTR RUB

27 Nov, 2024 - 23 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	98.0%
Cumulative Return	21.34%	23.82%
CAGR﹪	18.21%	20.3%
Sharpe	0.51	0.58
Prob. Sharpe Ratio	35.57%	38.82%
Smart Sharpe	0.47	0.54
Sortino	0.79	0.91
Smart Sortino	0.73	0.84
Sortino/√2	0.56	0.64
Smart Sortino/√2	0.52	0.6
Omega	1.09	1.09
Max Drawdown	-21.51%	-20.62%
Longest DD Days	339	331
Volatility (ann.)	24.93%	24.52%
R^2	0.52	0.52
Information Ratio	-0.01	-0.01
Calmar	0.85	0.98
Skew	0.78	0.87
Kurtosis	3.26	4.38
Expected Daily	0.06%	0.07%
Expected Monthly	1.3%	1.43%
Expected Yearly	6.66%	7.38%
Kelly Criterion	6.12%	7.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.51%	-2.46%
Expected Shortfall (cVaR)	-2.51%	-2.46%
Max Consecutive Wins	6	8
Max Consecutive Losses	5	14
Gain/Pain Ratio	0.14	0.16
Gain/Pain (1M)	0.97	1.04
Payoff Ratio	1.07	1.09
Profit Factor	1.14	1.16
Common Sense Ratio	1.28	1.2
CPC Index	0.63	0.65
Tail Ratio	1.12	1.03
Outlier Win Ratio	3.79	3.75
Outlier Loss Ratio	2.77	2.98
MTD	2.17%	2.07%
3M	7.69%	6.61%
6M	-0.25%	0.87%
YTD	2.17%	2.07%
1Y	2.44%	1.43%
3Y (ann.)	18.21%	20.3%
5Y (ann.)	18.21%	20.3%
10Y (ann.)	18.21%	20.3%
All-time (ann.)	18.21%	20.3%
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	2.17%	2.07%
Avg. Drawdown	-5.03%	-4.1%
Avg. Drawdown Days	49	44
Recovery Factor	0.99	1.16
Ulcer Index	0.12	0.12
Serenity Index	0.09	0.11
Avg. Up Month	5.2%	5.43%
Avg. Down Month	-4.14%	-4.17%
Win Days	51.43%	51.71%
Win Month	60.0%	60.0%
Win Quarter	66.67%	66.67%
Win Year	100.0%	100.0%
Beta	0.73	-
Alpha	0.04	-
Correlation	72.17%	-
Treynor Ratio	19.54%	-