BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	68.54%	93.57%
CAGR﹪	9.96%	12.77%
Sharpe	0.62	39.28
Prob. Sharpe Ratio	91.72%	-
Smart Sharpe	0.35	22.47
Sortino	0.89	-
Smart Sortino	0.51	-
Sortino/√2	0.63	-
Smart Sortino/√2	0.36	-
Omega	1.23	1.23
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	18.17%	0.31%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.33	-
Skew	0.94	0.23
Kurtosis	324.68	-1.05
Expected Daily	0.04%	0.05%
Expected Monthly	0.79%	1.01%
Expected Yearly	9.09%	11.64%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.84%	-0.02%
Expected Shortfall (cVaR)	-1.84%	-0.02%
Max Consecutive Wins	9	1373
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.23	-
Gain/Pain (1M)	3.19	-
Payoff Ratio	-	-
Profit Factor	1.23	-
Common Sense Ratio	1.45	-
CPC Index	-	-
Tail Ratio	1.18	3.88
Outlier Win Ratio	2.29	19.73
Outlier Loss Ratio	2.11	-
MTD	0.33%	0.46%
3M	2.32%	3.3%
6M	7.62%	6.8%
YTD	11.59%	9.75%
1Y	12.8%	14.98%
3Y (ann.)	14.59%	17.55%
5Y (ann.)	10.55%	13.61%
10Y (ann.)	9.96%	12.77%
All-time (ann.)	9.96%	12.77%
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%	5.0%
Avg. Drawdown	-0.99%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.29	-
Ulcer Index	0.03	0.0
Serenity Index	3.64	-
Avg. Up Month	1.57%	1.0%
Avg. Down Month	-	-
Win Days	55.24%	100.0%
Win Month	77.27%	100.0%
Win Quarter	78.26%	100.0%
Win Year	100.0%	100.0%
Beta	0.61	-
Alpha	0.04	-
Correlation	1.03%	-
Treynor Ratio	112.67%	-