BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 11 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	64.89%	87.54%
CAGR﹪	10.01%	12.74%
Sharpe	0.61	38.32
Prob. Sharpe Ratio	91.02%	-
Smart Sharpe	0.35	21.84
Sortino	0.88	-
Smart Sortino	0.5	-
Sortino/√2	0.62	-
Smart Sortino/√2	0.36	-
Omega	1.23	1.23
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	18.59%	0.32%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.33	-
Skew	0.92	0.23
Kurtosis	311.36	-1.14
Expected Daily	0.04%	0.05%
Expected Monthly	0.8%	1.0%
Expected Yearly	8.69%	11.05%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.88%	-0.02%
Expected Shortfall (cVaR)	-1.88%	-0.02%
Max Consecutive Wins	9	1308
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.23	-
Gain/Pain (1M)	3.07	-
Payoff Ratio	-	-
Profit Factor	1.23	-
Common Sense Ratio	1.43	-
CPC Index	-	-
Tail Ratio	1.17	3.98
Outlier Win Ratio	2.26	19.96
Outlier Loss Ratio	2.14	-
MTD	0.74%	0.48%
3M	5.29%	3.47%
6M	9.32%	7.19%
YTD	9.17%	6.33%
1Y	21.84%	16.08%
3Y (ann.)	12.6%	17.26%
5Y (ann.)	10.32%	13.24%
10Y (ann.)	10.01%	12.74%
All-time (ann.)	10.01%	12.74%
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%	5.0%
Avg. Drawdown	-0.99%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.16	-
Ulcer Index	0.03	0.0
Serenity Index	3.37	-
Avg. Up Month	1.62%	0.99%
Avg. Down Month	-	-
Win Days	55.06%	100.0%
Win Month	76.19%	100.0%
Win Quarter	77.27%	100.0%
Win Year	100.0%	100.0%
Beta	0.62	-
Alpha	0.04	-
Correlation	1.05%	-
Treynor Ratio	104.61%	-