TOPS RUB[Strategy] vs [Benchmark] MCFTR RUB

16 Jul, 2026 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	78.0%
Cumulative Return	8.13%	7.91%
CAGR﹪	94.08%	90.87%
Sharpe	1.45	1.49
Prob. Sharpe Ratio	58.7%	59.32%
Smart Sharpe	1.29	1.33
Sortino	2.36	2.26
Smart Sortino	2.1	2.01
Sortino/√2	1.67	1.6
Smart Sortino/√2	1.49	1.42
Omega	1.28	1.28
Max Drawdown	-11.79%	-10.87%
Longest DD Days	16	16
Volatility (ann.)	33.0%	30.77%
R^2	0.87	0.87
Information Ratio	0.01	0.01
Calmar	7.98	8.36
Skew	0.64	-0.01
Kurtosis	2.32	0.53
Expected Daily	0.2%	0.19%
Expected Monthly	3.98%	3.88%
Expected Yearly	8.13%	7.91%
Kelly Criterion	4.44%	17.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.2%	-2.98%
Expected Shortfall (cVaR)	-3.2%	-2.98%
Max Consecutive Wins	7	5
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.33	0.35
Gain/Pain (1M)	1.45	1.81
Payoff Ratio	0.93	0.89
Profit Factor	1.33	1.35
Common Sense Ratio	1.4	1.26
CPC Index	0.67	0.73
Tail Ratio	1.05	0.93
Outlier Win Ratio	3.25	4.46
Outlier Loss Ratio	2.6	1.9
MTD	-6.17%	-4.87%
3M	8.13%	7.91%
6M	8.13%	7.91%
YTD	8.13%	7.91%
1Y	8.13%	7.91%
3Y (ann.)	94.08%	90.87%
5Y (ann.)	94.08%	90.87%
10Y (ann.)	94.08%	90.87%
All-time (ann.)	94.08%	90.87%
Best Day	7.29%	5.18%
Worst Day	-3.93%	-4.29%
Best Month	15.24%	13.44%
Worst Month	-6.17%	-4.87%
Best Year	8.13%	7.91%
Worst Year	8.13%	7.91%
Avg. Drawdown	-2.69%	-3.43%
Avg. Drawdown Days	4	6
Recovery Factor	0.69	0.73
Ulcer Index	0.05	0.05
Serenity Index	0.04	0.03
Avg. Up Month	15.24%	13.44%
Avg. Down Month	-6.17%	-4.87%
Win Days	53.85%	61.29%
Win Month	50.0%	50.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.0	-
Alpha	0.02	-
Correlation	93.18%	-
Treynor Ratio	1.13%	-