BCSD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jul, 2024 - 18 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	98.0%
Cumulative Return	2.2%	4.12%
CAGR﹪	15.53%	30.73%
Sharpe	21.13	24.11
Prob. Sharpe Ratio	-	-
Smart Sharpe	16.99	19.38
Sortino	273.36	-
Smart Sortino	219.76	-
Sortino/√2	193.29	-
Smart Sortino/√2	155.39	-
Omega	109.91	109.91
Max Drawdown	-0.02%	-
Longest DD Days	-	-
Volatility (ann.)	0.65%	1.06%
R^2	0.02	0.02
Information Ratio	-0.56	-0.56
Calmar	777.19	-
Skew	1.14	2.05
Kurtosis	0.71	3.76
Expected Daily	0.05%	0.1%
Expected Monthly	0.73%	1.35%
Expected Yearly	2.2%	4.12%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.01%	-0.01%
Expected Shortfall (cVaR)	-0.01%	-0.01%
Max Consecutive Wins	37	39
Max Consecutive Losses	1	0
Gain/Pain Ratio	108.91	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	109.91	-
Common Sense Ratio	808.93	-
CPC Index	-	-
Tail Ratio	7.36	4.32
Outlier Win Ratio	3.86	2.15
Outlier Loss Ratio	-0.33	-
MTD	0.78%	1.47%
3M	2.2%	4.12%
6M	2.2%	4.12%
YTD	2.2%	4.12%
1Y	2.2%	4.12%
3Y (ann.)	15.53%	30.73%
5Y (ann.)	15.53%	30.73%
10Y (ann.)	15.53%	30.73%
All-time (ann.)	15.53%	30.73%
Best Day	0.16%	0.28%
Worst Day	-0.02%	0.0%
Best Month	1.3%	1.47%
Worst Month	0.11%	1.14%
Best Year	2.2%	4.12%
Worst Year	2.2%	4.12%
Avg. Drawdown	-0.02%	-
Avg. Drawdown Days	-	-
Recovery Factor	110.05	-
Ulcer Index	0.0	0.0
Serenity Index	4930.66	-
Avg. Up Month	0.73%	1.35%
Avg. Down Month	-	-
Win Days	97.44%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.1	-
Alpha	0.16	-
Correlation	-15.73%	-
Treynor Ratio	-22.76%	-