BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	64.61%	87.13%
CAGR﹪	10.0%	12.74%
Sharpe	0.61	38.25
Prob. Sharpe Ratio	90.97%	-
Smart Sharpe	0.35	21.8
Sortino	0.88	-
Smart Sortino	0.5	-
Sortino/√2	0.62	-
Smart Sortino/√2	0.35	-
Omega	1.23	1.23
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	18.61%	0.32%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.33	-
Skew	0.92	0.23
Kurtosis	310.43	-1.14
Expected Daily	0.04%	0.05%
Expected Monthly	0.79%	1.0%
Expected Yearly	8.66%	11.01%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.88%	-0.02%
Expected Shortfall (cVaR)	-1.88%	-0.02%
Max Consecutive Wins	9	1304
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.23	-
Gain/Pain (1M)	3.06	-
Payoff Ratio	-	-
Profit Factor	1.23	-
Common Sense Ratio	1.43	-
CPC Index	-	-
Tail Ratio	1.17	3.99
Outlier Win Ratio	2.25	19.98
Outlier Loss Ratio	2.14	-
MTD	0.57%	0.27%
3M	6.27%	3.46%
6M	7.15%	7.21%
YTD	8.99%	6.1%
1Y	21.8%	16.19%
3Y (ann.)	12.57%	17.22%
5Y (ann.)	10.3%	13.21%
10Y (ann.)	10.0%	12.74%
All-time (ann.)	10.0%	12.74%
Best Day	25.56%	0.09%
Worst Day	-24.07%	0.0%
Best Month	6.35%	1.83%
Worst Month	-9.42%	0.27%
Best Year	26.31%	19.38%
Worst Year	2.57%	5.0%
Avg. Drawdown	-1.0%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.15	-
Ulcer Index	0.03	0.0
Serenity Index	3.35	-
Avg. Up Month	1.62%	0.99%
Avg. Down Month	-	-
Win Days	55.0%	100.0%
Win Month	76.19%	100.0%
Win Quarter	77.27%	100.0%
Win Year	100.0%	100.0%
Beta	0.62	-
Alpha	0.04	-
Correlation	1.06%	-
Treynor Ratio	104.11%	-