BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 19 Oct, 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%	96.9%
CAGR﹪	9.34%	12.86%
Sharpe	0.59	39.32
Prob. Sharpe Ratio	91.0%	-
Smart Sharpe	0.34	22.55
Sortino	0.85	-
Smart Sortino	0.49	-
Sortino/√2	0.6	-
Smart Sortino/√2	0.34	-
Omega	1.22	1.22
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	18.02%	0.31%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.31	-
Skew	0.95	0.23
Kurtosis	329.25	-1.05
Expected Daily	0.04%	0.05%
Expected Monthly	0.75%	1.02%
Expected Yearly	8.69%	11.95%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.83%	-0.02%
Expected Shortfall (cVaR)	-1.83%	-0.02%
Max Consecutive Wins	9	1399
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	2.77	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.44	-
CPC Index	-	-
Tail Ratio	1.18	3.97
Outlier Win Ratio	2.29	19.51
Outlier Loss Ratio	2.1	-
MTD	0.3%	1.09%
3M	1.64%	3.76%
6M	2.86%	7.11%
YTD	9.17%	11.64%
1Y	11.74%	15.17%
3Y (ann.)	13.51%	17.73%
5Y (ann.)	10.15%	13.84%
10Y (ann.)	9.34%	12.86%
All-time (ann.)	9.34%	12.86%
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	-1.0%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.16	-
Ulcer Index	0.03	0.0
Serenity Index	3.45	-
Avg. Up Month	1.57%	1.01%
Avg. Down Month	-	-
Win Days	54.95%	100.0%
Win Month	76.12%	100.0%
Win Quarter	79.17%	100.0%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	0.04	-
Correlation	0.98%	-
Treynor Ratio	114.21%	-