BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 26 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	63.39%	88.63%
CAGR﹪	9.73%	12.76%
Sharpe	0.6	38.49
Prob. Sharpe Ratio	90.71%	-
Smart Sharpe	0.34	21.95
Sortino	0.86	-
Smart Sortino	0.49	-
Sortino/√2	0.61	-
Smart Sortino/√2	0.35	-
Omega	1.22	1.22
Max Drawdown	-29.99%	-
Longest DD Days	-	-
Volatility (ann.)	18.52%	0.32%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.32	-
Skew	0.92	0.22
Kurtosis	313.34	-1.13
Expected Daily	0.04%	0.05%
Expected Monthly	0.78%	1.01%
Expected Yearly	8.53%	11.16%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.87%	-0.02%
Expected Shortfall (cVaR)	-1.87%	-0.02%
Max Consecutive Wins	9	1318
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	3.0	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.43	-
CPC Index	-	-
Tail Ratio	1.17	3.95
Outlier Win Ratio	2.26	19.89
Outlier Loss Ratio	2.14	-
MTD	-0.18%	1.07%
3M	3.28%	3.49%
6M	9.82%	7.14%
YTD	8.18%	6.95%
1Y	20.16%	15.88%
3Y (ann.)	12.4%	17.35%
5Y (ann.)	10.12%	13.32%
10Y (ann.)	9.73%	12.76%
All-time (ann.)	9.73%	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%	5.0%
Avg. Drawdown	-0.99%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.11	-
Ulcer Index	0.03	0.0
Serenity Index	3.31	-
Avg. Up Month	1.64%	1.0%
Avg. Down Month	-	-
Win Days	54.94%	100.0%
Win Month	74.6%	100.0%
Win Quarter	77.27%	100.0%
Win Year	100.0%	100.0%
Beta	0.6	-
Alpha	0.04	-
Correlation	1.02%	-
Treynor Ratio	105.66%	-