BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 4 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	39.54%	63.65%
CAGR﹪	8.04%	12.12%
Sharpe	0.49	34.33
Prob. Sharpe Ratio	83.88%	-
Smart Sharpe	0.28	19.37
Sortino	0.7	-
Smart Sortino	0.4	-
Sortino/√2	0.5	-
Smart Sortino/√2	0.28	-
Omega	1.18	1.18
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	20.29%	0.34%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.27	-
Skew	0.87	0.5
Kurtosis	266.98	-1.13
Expected Daily	0.03%	0.05%
Expected Monthly	0.64%	0.95%
Expected Yearly	6.89%	10.35%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.06%	-0.01%
Expected Shortfall (cVaR)	-2.06%	-0.01%
Max Consecutive Wins	9	1073
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.18	-
Gain/Pain (1M)	2.31	-
Payoff Ratio	-	-
Profit Factor	1.18	-
Common Sense Ratio	1.43	-
CPC Index	-	-
Tail Ratio	1.21	4.23
Outlier Win Ratio	2.41	23.28
Outlier Loss Ratio	2.15	-
MTD	1.43%	0.3%
3M	9.98%	4.95%
6M	16.25%	10.67%
YTD	16.69%	10.77%
1Y	18.14%	21.8%
3Y (ann.)	11.34%	14.62%
5Y (ann.)	8.04%	12.12%
10Y (ann.)	8.04%	12.12%
All-time (ann.)	8.04%	12.12%
Best Day	25.56%	0.09%
Worst Day	-24.07%	0.0%
Best Month	6.35%	1.83%
Worst Month	-9.42%	0.3%
Best Year	16.69%	18.74%
Worst Year	2.57%	5.0%
Avg. Drawdown	-1.16%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.32	-
Ulcer Index	0.04	0.0
Serenity Index	1.87	-
Avg. Up Month	1.53%	0.94%
Avg. Down Month	-	-
Win Days	54.87%	100.0%
Win Month	75.0%	100.0%
Win Quarter	73.68%	100.0%
Win Year	100.0%	100.0%
Beta	0.55	-
Alpha	0.03	-
Correlation	0.92%	-
Treynor Ratio	71.25%	-