BCSD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jul, 2024 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	41.79%	42.21%
CAGR﹪	18.61%	18.77%
Sharpe	22.44	46.59
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	18.76	38.95
Sortino	443.86	-
Smart Sortino	371.08	-
Sortino/√2	313.86	-
Smart Sortino/√2	262.39	-
Omega	214.2	214.2
Max Drawdown	-0.03%	-
Longest DD Days	-	-
Volatility (ann.)	0.75%	0.36%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	693.61	-
Skew	1.0	6.44
Kurtosis	0.74	59.35
Expected Daily	0.07%	0.07%
Expected Monthly	1.35%	1.36%
Expected Yearly	12.34%	12.45%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.01%	-0.03%
Expected Shortfall (cVaR)	-0.01%	-0.03%
Max Consecutive Wins	133	524
Max Consecutive Losses	1	0
Gain/Pain Ratio	213.2	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	214.2	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	1.87
Outlier Win Ratio	2.16	2.2
Outlier Loss Ratio	-1.04	-
MTD	0.33%	0.32%
3M	3.53%	3.31%
6M	7.19%	6.68%
YTD	8.89%	8.44%
1Y	16.3%	15.2%
3Y (ann.)	18.61%	18.77%
5Y (ann.)	18.61%	18.77%
10Y (ann.)	18.61%	18.77%
All-time (ann.)	18.61%	18.77%
Best Day	0.25%	0.28%
Worst Day	-0.03%	0.0%
Best Month	1.81%	1.83%
Worst Month	0.11%	0.32%
Best Year	20.55%	19.38%
Worst Year	8.03%	8.44%
Avg. Drawdown	-0.01%	-
Avg. Drawdown Days	-	-
Recovery Factor	1558.11	-
Ulcer Index	0.0	0.0
Serenity Index	196801.72	-
Avg. Up Month	1.35%	1.36%
Avg. Down Month	-	-
Win Days	97.83%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.11	-
Alpha	0.15	-
Correlation	5.11%	-
Treynor Ratio	397.24%	-