BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 5 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	52.52%	79.07%
CAGR﹪	9.0%	12.63%
Sharpe	0.55	36.84
Prob. Sharpe Ratio	88.09%	-
Smart Sharpe	0.31	20.96
Sortino	0.79	-
Smart Sortino	0.45	-
Sortino/√2	0.56	-
Smart Sortino/√2	0.32	-
Omega	1.2	1.2
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	19.19%	0.33%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.3	-
Skew	0.9	0.28
Kurtosis	293.13	-1.22
Expected Daily	0.03%	0.05%
Expected Monthly	0.72%	0.99%
Expected Yearly	7.29%	10.2%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.95%	-0.01%
Expected Shortfall (cVaR)	-1.95%	-0.01%
Max Consecutive Wins	9	1221
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.2	-
Gain/Pain (1M)	2.66	-
Payoff Ratio	-	-
Profit Factor	1.2	-
Common Sense Ratio	1.39	-
CPC Index	-	-
Tail Ratio	1.15	4.04
Outlier Win Ratio	2.32	21.37
Outlier Loss Ratio	2.11	-
MTD	0.84%	0.29%
3M	1.16%	4.03%
6M	4.58%	8.13%
YTD	0.98%	1.53%
1Y	24.44%	18.88%
3Y (ann.)	11.42%	16.46%
5Y (ann.)	9.0%	12.63%
10Y (ann.)	9.0%	12.63%
All-time (ann.)	9.0%	12.63%
Best Day	25.56%	0.09%
Worst Day	-24.07%	0.0%
Best Month	6.35%	1.83%
Worst Month	-9.42%	0.29%
Best Year	26.31%	19.38%
Worst Year	0.98%	1.53%
Avg. Drawdown	-1.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.75	-
Ulcer Index	0.04	0.0
Serenity Index	2.63	-
Avg. Up Month	1.59%	0.98%
Avg. Down Month	-	-
Win Days	54.47%	100.0%
Win Month	74.58%	100.0%
Win Quarter	76.19%	100.0%
Win Year	100.0%	100.0%
Beta	0.6	-
Alpha	0.03	-
Correlation	1.01%	-
Treynor Ratio	87.97%	-