BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 23 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	46.81%	76.41%
CAGR﹪	8.37%	12.62%
Sharpe	0.52	36.33
Prob. Sharpe Ratio	86.39%	-
Smart Sharpe	0.29	20.65
Sortino	0.74	-
Smart Sortino	0.42	-
Sortino/√2	0.52	-
Smart Sortino/√2	0.3	-
Omega	1.19	1.19
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	19.38%	0.33%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.28	-
Skew	0.9	0.31
Kurtosis	288.2	-1.22
Expected Daily	0.03%	0.05%
Expected Monthly	0.68%	1.0%
Expected Yearly	7.98%	12.02%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.97%	-0.01%
Expected Shortfall (cVaR)	-1.97%	-0.01%
Max Consecutive Wins	9	1195
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.19	-
Gain/Pain (1M)	2.15	-
Payoff Ratio	-	-
Profit Factor	1.19	-
Common Sense Ratio	1.39	-
CPC Index	-	-
Tail Ratio	1.17	4.12
Outlier Win Ratio	2.34	21.81
Outlier Loss Ratio	2.1	-
MTD	-3.77%	1.3%
3M	-0.43%	4.3%
6M	7.83%	8.62%
YTD	22.78%	19.42%
1Y	29.59%	20.1%
3Y (ann.)	10.68%	16.28%
5Y (ann.)	8.37%	12.62%
10Y (ann.)	8.37%	12.62%
All-time (ann.)	8.37%	12.62%
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	22.78%	19.42%
Worst Year	2.57%	5.0%
Avg. Drawdown	-1.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.56	-
Ulcer Index	0.04	0.0
Serenity Index	2.33	-
Avg. Up Month	1.64%	0.99%
Avg. Down Month	-	-
Win Days	54.17%	100.0%
Win Month	73.68%	100.0%
Win Quarter	70.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.38	-
Alpha	0.05	-
Correlation	0.64%	-
Treynor Ratio	123.91%	-