BCSB RUB[Strategy] vs Deposit RUB[Benchmark]

15 Mar, 2021 - 10 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	62.91%	89.38%
CAGR﹪	9.6%	12.75%
Sharpe	0.59	38.62
Prob. Sharpe Ratio	90.61%	-
Smart Sharpe	0.34	22.04
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.)	18.46%	0.31%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.32	-
Skew	0.93	0.23
Kurtosis	315.39	-1.11
Expected Daily	0.04%	0.05%
Expected Monthly	0.77%	1.0%
Expected Yearly	8.47%	11.23%
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	1328
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	2.93	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.43	-
CPC Index	-	-
Tail Ratio	1.17	3.92
Outlier Win Ratio	2.26	19.89
Outlier Loss Ratio	2.14	-
MTD	-0.5%	0.4%
3M	2.47%	3.33%
6M	8.19%	7.15%
YTD	7.86%	7.38%
1Y	16.34%	15.59%
3Y (ann.)	11.88%	17.38%
5Y (ann.)	10.04%	13.36%
10Y (ann.)	9.6%	12.75%
All-time (ann.)	9.6%	12.75%
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	2.1	-
Ulcer Index	0.03	0.0
Serenity Index	3.29	-
Avg. Up Month	1.6%	1.01%
Avg. Down Month	-	-
Win Days	54.78%	100.0%
Win Month	75.0%	100.0%
Win Quarter	73.91%	100.0%
Win Year	100.0%	100.0%
Beta	0.61	-
Alpha	0.04	-
Correlation	1.04%	-
Treynor Ratio	103.27%	-