BCSD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jul, 2024 - 28 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	26.42%	27.83%
CAGR﹪	20.45%	21.51%
Sharpe	23.57	46.39
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	20.52	40.38
Sortino	483.01	-
Smart Sortino	420.5	-
Sortino/√2	341.54	-
Smart Sortino/√2	297.34	-
Omega	260.46	260.46
Max Drawdown	-0.03%	-
Longest DD Days	-	-
Volatility (ann.)	0.76%	0.41%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	762.3	-
Skew	0.92	6.59
Kurtosis	0.33	52.73
Expected Daily	0.07%	0.07%
Expected Monthly	1.48%	1.55%
Expected Yearly	12.44%	13.06%
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	328
Max Consecutive Losses	1	0
Gain/Pain Ratio	259.46	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	260.46	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	1.52
Outlier Win Ratio	3.0	2.92
Outlier Loss Ratio	-1.21	-
MTD	1.25%	1.29%
3M	4.33%	4.19%
6M	9.67%	8.96%
YTD	17.03%	16.38%
1Y	21.39%	20.99%
3Y (ann.)	20.45%	21.51%
5Y (ann.)	20.45%	21.51%
10Y (ann.)	20.45%	21.51%
All-time (ann.)	20.45%	21.51%
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	17.03%	16.38%
Worst Year	8.03%	9.84%
Avg. Drawdown	-0.02%	-
Avg. Drawdown Days	-	-
Recovery Factor	985.09	-
Ulcer Index	0.0	0.0
Serenity Index	131598.61	-
Avg. Up Month	1.48%	1.55%
Avg. Down Month	-	-
Win Days	98.42%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.04	-
Alpha	0.19	-
Correlation	-2.11%	-
Treynor Ratio	-665.94%	-