BCSR RUB[Strategy] vs [Benchmark] MCFTR RUB

27 Nov, 2024 - 16 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	97.0%
Cumulative Return	15.77%	11.41%
CAGR﹪	18.0%	12.99%
Sharpe	0.48	0.32
Prob. Sharpe Ratio	35.79%	30.47%
Smart Sharpe	0.44	0.29
Sortino	0.75	0.51
Smart Sortino	0.69	0.46
Sortino/√2	0.53	0.36
Smart Sortino/√2	0.49	0.33
Omega	1.09	1.09
Max Drawdown	-19.22%	-20.31%
Longest DD Days	240	232
Volatility (ann.)	26.13%	25.4%
R^2	0.5	0.5
Information Ratio	0.01	0.01
Calmar	0.94	0.64
Skew	0.81	1.02
Kurtosis	3.11	4.66
Expected Daily	0.06%	0.05%
Expected Monthly	1.23%	0.9%
Expected Yearly	7.6%	5.55%
Kelly Criterion	4.13%	7.05%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.63%	-2.57%
Expected Shortfall (cVaR)	-2.63%	-2.57%
Max Consecutive Wins	6	8
Max Consecutive Losses	4	14
Gain/Pain Ratio	0.14	0.11
Gain/Pain (1M)	0.95	0.58
Payoff Ratio	0.99	1.06
Profit Factor	1.14	1.11
Common Sense Ratio	1.33	1.2
CPC Index	0.59	0.61
Tail Ratio	1.17	1.08
Outlier Win Ratio	4.04	4.16
Outlier Loss Ratio	2.61	2.76
MTD	0.72%	-4.65%
3M	-0.18%	-4.61%
6M	-0.0%	-3.3%
YTD	-0.35%	-5.46%
1Y	15.77%	11.41%
3Y (ann.)	18.0%	12.99%
5Y (ann.)	18.0%	12.99%
10Y (ann.)	18.0%	12.99%
All-time (ann.)	18.0%	12.99%
Best Day	8.43%	9.2%
Worst Day	-4.2%	-3.98%
Best Month	14.42%	13.91%
Worst Month	-7.55%	-7.26%
Best Year	16.19%	17.84%
Worst Year	-0.35%	-5.46%
Avg. Drawdown	-4.75%	-4.06%
Avg. Drawdown Days	36	33
Recovery Factor	0.82	0.56
Ulcer Index	0.11	0.11
Serenity Index	0.07	0.04
Avg. Up Month	5.92%	6.22%
Avg. Down Month	-3.88%	-3.93%
Win Days	52.29%	52.23%
Win Month	58.33%	50.0%
Win Quarter	60.0%	40.0%
Win Year	50.0%	50.0%
Beta	0.73	-
Alpha	0.08	-
Correlation	70.61%	-
Treynor Ratio	12.08%	-