BCSD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jul, 2024 - 11 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	37.0%	37.69%
CAGR﹪	19.17%	19.51%
Sharpe	22.79	47.25
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	19.29	39.99
Sortino	523.57	-
Smart Sortino	443.13	-
Sortino/√2	370.22	-
Smart Sortino/√2	313.34	-
Omega	278.85	278.85
Max Drawdown	-0.03%	-
Longest DD Days	-	-
Volatility (ann.)	0.76%	0.37%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	714.83	-
Skew	1.01	6.64
Kurtosis	0.68	59.37
Expected Daily	0.07%	0.07%
Expected Monthly	1.38%	1.4%
Expected Yearly	11.06%	11.25%
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	459
Max Consecutive Losses	1	0
Gain/Pain Ratio	277.85	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	278.85	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	1.8
Outlier Win Ratio	2.12	2.13
Outlier Loss Ratio	-1.45	-
MTD	0.29%	0.3%
3M	3.57%	3.29%
6M	7.77%	7.3%
YTD	5.2%	5.0%
1Y	17.87%	16.52%
3Y (ann.)	19.17%	19.51%
5Y (ann.)	19.17%	19.51%
10Y (ann.)	19.17%	19.51%
All-time (ann.)	19.17%	19.51%
Best Day	0.25%	0.28%
Worst Day	-0.03%	0.0%
Best Month	1.81%	1.83%
Worst Month	0.11%	0.3%
Best Year	20.55%	19.38%
Worst Year	5.2%	5.0%
Avg. Drawdown	-0.01%	-
Avg. Drawdown Days	-	-
Recovery Factor	1379.28	-
Ulcer Index	0.0	0.0
Serenity Index	233251.01	-
Avg. Up Month	1.38%	1.4%
Avg. Down Month	-	-
Win Days	98.2%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.05	-
Alpha	0.16	-
Correlation	2.21%	-
Treynor Ratio	818.5%	-