BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 20 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	57.46%	82.69%
CAGR﹪	9.47%	12.76%
Sharpe	0.58	37.17
Prob. Sharpe Ratio	89.37%	-
Smart Sharpe	0.33	21.17
Sortino	0.83	-
Smart Sortino	0.47	-
Sortino/√2	0.59	-
Smart Sortino/√2	0.33	-
Omega	1.21	1.21
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	18.99%	0.33%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.32	-
Skew	0.9	0.23
Kurtosis	298.78	-1.26
Expected Daily	0.04%	0.05%
Expected Monthly	0.76%	1.01%
Expected Yearly	7.86%	10.57%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.92%	-0.01%
Expected Shortfall (cVaR)	-1.92%	-0.01%
Max Consecutive Wins	9	1250
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.21	-
Gain/Pain (1M)	2.83	-
Payoff Ratio	-	-
Profit Factor	1.21	-
Common Sense Ratio	1.41	-
CPC Index	-	-
Tail Ratio	1.16	4.0
Outlier Win Ratio	2.29	20.7
Outlier Loss Ratio	2.12	-
MTD	2.32%	1.16%
3M	5.6%	4.0%
6M	6.76%	8.07%
YTD	4.25%	3.58%
1Y	24.34%	18.18%
3Y (ann.)	11.93%	16.91%
5Y (ann.)	9.65%	12.9%
10Y (ann.)	9.47%	12.76%
All-time (ann.)	9.47%	12.76%
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%	3.58%
Avg. Drawdown	-1.07%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.92	-
Ulcer Index	0.03	0.0
Serenity Index	2.92	-
Avg. Up Month	1.62%	1.0%
Avg. Down Month	-	-
Win Days	54.62%	100.0%
Win Month	75.0%	100.0%
Win Quarter	76.19%	100.0%
Win Year	100.0%	100.0%
Beta	0.67	-
Alpha	0.03	-
Correlation	1.16%	-
Treynor Ratio	85.3%	-