BCSW RUB[Strategy] vs [Benchmark] MOEXALLW RUB

16 Apr, 2025 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	99.0%
Cumulative Return	5.73%	7.04%
CAGR﹪	16.53%	20.53%
Sharpe	0.88	1.36
Prob. Sharpe Ratio	60.5%	73.07%
Smart Sharpe	0.86	1.33
Sortino	1.29	2.08
Smart Sortino	1.26	2.04
Sortino/√2	0.91	1.47
Smart Sortino/√2	0.89	1.44
Omega	1.15	1.15
Max Drawdown	-4.25%	-3.55%
Longest DD Days	83	80
Volatility (ann.)	10.05%	8.9%
R^2	0.64	0.64
Information Ratio	-0.03	-0.03
Calmar	3.89	5.78
Skew	-0.06	0.15
Kurtosis	-0.22	0.31
Expected Daily	0.06%	0.07%
Expected Monthly	1.12%	1.37%
Expected Yearly	5.73%	7.04%
Kelly Criterion	12.49%	11.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.98%	-0.85%
Expected Shortfall (cVaR)	-0.98%	-0.85%
Max Consecutive Wins	7	6
Max Consecutive Losses	4	5
Gain/Pain Ratio	0.28	0.4
Gain/Pain (1M)	3.5	5.9
Payoff Ratio	0.92	1.02
Profit Factor	1.28	1.4
Common Sense Ratio	1.4	1.71
CPC Index	0.68	0.79
Tail Ratio	1.1	1.22
Outlier Win Ratio	2.78	2.81
Outlier Loss Ratio	2.03	2.68
MTD	3.98%	3.29%
3M	7.86%	8.6%
6M	5.73%	7.04%
YTD	5.73%	7.04%
1Y	5.73%	7.04%
3Y (ann.)	16.53%	20.53%
5Y (ann.)	16.53%	20.53%
10Y (ann.)	16.53%	20.53%
All-time (ann.)	16.53%	20.53%
Best Day	1.64%	1.86%
Worst Day	-1.42%	-1.17%
Best Month	3.98%	3.29%
Worst Month	-1.67%	-1.19%
Best Year	5.73%	7.04%
Worst Year	5.73%	7.04%
Avg. Drawdown	-1.34%	-1.11%
Avg. Drawdown Days	16	15
Recovery Factor	1.35	1.98
Ulcer Index	0.02	0.02
Serenity Index	-0.1	0.01
Avg. Up Month	1.84%	2.03%
Avg. Down Month	-1.67%	-1.19%
Win Days	57.95%	55.43%
Win Month	80.0%	80.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.9	-
Alpha	-0.01	-
Correlation	79.97%	-
Treynor Ratio	-1.4%	-