BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 24 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	61.38%	84.68%
CAGR﹪	9.81%	12.75%
Sharpe	0.6	37.78
Prob. Sharpe Ratio	90.28%	-
Smart Sharpe	0.34	21.53
Sortino	0.86	-
Smart Sortino	0.49	-
Sortino/√2	0.61	-
Smart Sortino/√2	0.35	-
Omega	1.22	1.22
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	18.82%	0.32%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.33	-
Skew	0.91	0.22
Kurtosis	303.74	-1.2
Expected Daily	0.04%	0.05%
Expected Monthly	0.79%	1.01%
Expected Yearly	8.3%	10.77%
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	1275
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	2.96	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.42	-
CPC Index	-	-
Tail Ratio	1.16	4.0
Outlier Win Ratio	2.26	20.35
Outlier Loss Ratio	2.13	-
MTD	1.37%	1.12%
3M	6.49%	3.75%
6M	8.27%	7.79%
YTD	6.85%	4.71%
1Y	27.36%	17.22%
3Y (ann.)	12.59%	17.05%
5Y (ann.)	10.01%	13.04%
10Y (ann.)	9.81%	12.75%
All-time (ann.)	9.81%	12.75%
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%	4.71%
Avg. Drawdown	-1.03%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.05	-
Ulcer Index	0.03	0.0
Serenity Index	3.15	-
Avg. Up Month	1.64%	1.0%
Avg. Down Month	-	-
Win Days	54.82%	100.0%
Win Month	75.41%	100.0%
Win Quarter	77.27%	100.0%
Win Year	100.0%	100.0%
Beta	0.62	-
Alpha	0.04	-
Correlation	1.06%	-
Treynor Ratio	98.29%	-