BCSD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jul, 2024 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	29.06%	30.33%
CAGR﹪	20.25%	21.1%
Sharpe	23.45	46.79
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	20.15	40.2
Sortino	484.92	-
Smart Sortino	416.61	-
Sortino/√2	342.89	-
Smart Sortino/√2	294.59	-
Omega	241.72	241.72
Max Drawdown	-0.03%	-
Longest DD Days	-	-
Volatility (ann.)	0.76%	0.39%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	754.9	-
Skew	0.91	6.67
Kurtosis	0.34	55.23
Expected Daily	0.07%	0.07%
Expected Monthly	1.43%	1.48%
Expected Yearly	13.61%	14.16%
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	361
Max Consecutive Losses	1	0
Gain/Pain Ratio	240.72	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	241.72	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	1.6
Outlier Win Ratio	2.57	2.54
Outlier Loss Ratio	-1.43	-
MTD	0.6%	0.65%
3M	4.2%	4.05%
6M	9.06%	8.41%
YTD	19.47%	18.65%
1Y	20.96%	20.01%
3Y (ann.)	20.25%	21.1%
5Y (ann.)	20.25%	21.1%
10Y (ann.)	20.25%	21.1%
All-time (ann.)	20.25%	21.1%
Best Day	0.22%	0.28%
Worst Day	-0.03%	0.0%
Best Month	1.81%	1.83%
Worst Month	0.11%	0.65%
Best Year	19.47%	18.65%
Worst Year	8.03%	9.84%
Avg. Drawdown	-0.02%	-
Avg. Drawdown Days	-	-
Recovery Factor	1083.45	-
Ulcer Index	0.0	0.0
Serenity Index	147651.94	-
Avg. Up Month	1.43%	1.48%
Avg. Down Month	-	-
Win Days	97.99%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.02	-
Alpha	0.18	-
Correlation	-0.92%	-
Treynor Ratio	-1652.32%	-