BCSW RUB[Strategy] vs [Benchmark] MOEXALLW RUB

21 Apr, 2025 - 3 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	100.0%
Cumulative Return	9.82%	13.14%
CAGR﹪	11.43%	15.33%
Sharpe	0.44	0.83
Prob. Sharpe Ratio	49.13%	65.48%
Smart Sharpe	0.43	0.81
Sortino	0.64	1.23
Smart Sortino	0.62	1.21
Sortino/√2	0.45	0.87
Smart Sortino/√2	0.44	0.85
Omega	1.07	1.07
Max Drawdown	-7.08%	-7.24%
Longest DD Days	137	137
Volatility (ann.)	10.41%	9.56%
R^2	0.67	0.67
Information Ratio	-0.03	-0.03
Calmar	1.61	2.12
Skew	0.14	0.28
Kurtosis	0.6	2.6
Expected Daily	0.04%	0.06%
Expected Monthly	0.78%	1.03%
Expected Yearly	4.8%	6.37%
Kelly Criterion	9.77%	10.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.03%	-0.93%
Expected Shortfall (cVaR)	-1.03%	-0.93%
Max Consecutive Wins	7	7
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.19	0.29
Gain/Pain (1M)	2.75	4.47
Payoff Ratio	0.93	1.03
Profit Factor	1.19	1.29
Common Sense Ratio	1.31	1.28
CPC Index	0.63	0.73
Tail Ratio	1.1	0.99
Outlier Win Ratio	3.14	3.12
Outlier Loss Ratio	2.3	3.04
MTD	0.45%	0.6%
3M	5.67%	6.68%
6M	4.98%	6.37%
YTD	2.85%	3.69%
1Y	9.82%	13.14%
3Y (ann.)	11.43%	15.33%
5Y (ann.)	11.43%	15.33%
10Y (ann.)	11.43%	15.33%
All-time (ann.)	11.43%	15.33%
Best Day	2.58%	3.0%
Worst Day	-1.67%	-1.94%
Best Month	3.3%	3.2%
Worst Month	-1.67%	-1.19%
Best Year	6.78%	9.12%
Worst Year	2.85%	3.69%
Avg. Drawdown	-2.03%	-1.82%
Avg. Drawdown Days	31	31
Recovery Factor	1.39	1.82
Ulcer Index	0.03	0.03
Serenity Index	0.13	0.29
Avg. Up Month	1.48%	1.73%
Avg. Down Month	-1.25%	-1.01%
Win Days	56.44%	54.59%
Win Month	75.0%	75.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.89	-
Alpha	-0.02	-
Correlation	81.85%	-
Treynor Ratio	3.17%	-