BCSD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jul, 2024 - 17 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	16.65%	19.51%
CAGR﹪	20.91%	24.57%
Sharpe	23.6	43.86
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	20.38	37.88
Sortino	404.39	-
Smart Sortino	349.23	-
Sortino/√2	285.95	-
Smart Sortino/√2	246.94	-
Omega	189.18	189.18
Max Drawdown	-0.03%	-
Longest DD Days	-	-
Volatility (ann.)	0.78%	0.49%
R^2	0.01	0.01
Information Ratio	-0.19	-0.19
Calmar	779.67	-
Skew	0.94	5.24
Kurtosis	0.38	32.54
Expected Daily	0.07%	0.08%
Expected Monthly	1.41%	1.63%
Expected Yearly	8.0%	9.32%
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	210
Max Consecutive Losses	1	0
Gain/Pain Ratio	188.18	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	189.18	-
Common Sense Ratio	3637.82	-
CPC Index	-	-
Tail Ratio	19.23	1.76
Outlier Win Ratio	3.28	2.91
Outlier Loss Ratio	-1.17	-
MTD	0.92%	1.63%
3M	5.34%	5.97%
6M	10.76%	11.73%
YTD	7.98%	8.8%
1Y	16.65%	19.51%
3Y (ann.)	20.91%	24.57%
5Y (ann.)	20.91%	24.57%
10Y (ann.)	20.91%	24.57%
All-time (ann.)	20.91%	24.57%
Best Day	0.22%	0.28%
Worst Day	-0.03%	0.0%
Best Month	1.81%	1.83%
Worst Month	0.11%	1.14%
Best Year	8.03%	9.84%
Worst Year	7.98%	8.8%
Avg. Drawdown	-0.02%	-
Avg. Drawdown Days	-	-
Recovery Factor	620.71	-
Ulcer Index	0.0	0.0
Serenity Index	56129.17	-
Avg. Up Month	1.41%	1.63%
Avg. Down Month	-	-
Win Days	98.05%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.13	-
Alpha	0.21	-
Correlation	-7.93%	-
Treynor Ratio	-130.74%	-