BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 15 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	59.26%	83.67%
CAGR﹪	9.58%	12.69%
Sharpe	0.59	37.66
Prob. Sharpe Ratio	89.8%	-
Smart Sharpe	0.33	21.46
Sortino	0.84	-
Smart Sortino	0.48	-
Sortino/√2	0.6	-
Smart Sortino/√2	0.34	-
Omega	1.21	1.21
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	18.87%	0.32%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.32	-
Skew	0.91	0.25
Kurtosis	302.3	-1.18
Expected Daily	0.04%	0.05%
Expected Monthly	0.77%	1.0%
Expected Yearly	8.07%	10.66%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.91%	-0.01%
Expected Shortfall (cVaR)	-1.91%	-0.01%
Max Consecutive Wins	9	1268
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.21	-
Gain/Pain (1M)	2.89	-
Payoff Ratio	-	-
Profit Factor	1.21	-
Common Sense Ratio	1.41	-
CPC Index	-	-
Tail Ratio	1.16	4.0
Outlier Win Ratio	2.27	20.53
Outlier Loss Ratio	2.12	-
MTD	0.04%	0.56%
3M	5.29%	3.7%
6M	8.45%	7.61%
YTD	5.45%	4.14%
1Y	25.59%	17.19%
3Y (ann.)	12.21%	16.92%
5Y (ann.)	9.71%	12.95%
10Y (ann.)	9.58%	12.69%
All-time (ann.)	9.58%	12.69%
Best Day	25.56%	0.09%
Worst Day	-24.07%	0.0%
Best Month	6.35%	1.83%
Worst Month	-9.42%	0.35%
Best Year	26.31%	19.38%
Worst Year	2.57%	4.14%
Avg. Drawdown	-1.04%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.98	-
Ulcer Index	0.03	0.0
Serenity Index	3.03	-
Avg. Up Month	1.61%	0.99%
Avg. Down Month	-	-
Win Days	54.72%	100.0%
Win Month	75.41%	100.0%
Win Quarter	77.27%	100.0%
Win Year	100.0%	100.0%
Beta	0.61	-
Alpha	0.04	-
Correlation	1.04%	-
Treynor Ratio	97.04%	-