BCSD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jul, 2024 - 1 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	19.56%	21.41%
CAGR﹪	21.07%	23.08%
Sharpe	23.68	44.96
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	21.03	39.94
Sortino	427.31	-
Smart Sortino	379.61	-
Sortino/√2	302.15	-
Smart Sortino/√2	268.42	-
Omega	198.68	198.68
Max Drawdown	-0.03%	-
Longest DD Days	-	-
Volatility (ann.)	0.78%	0.45%
R^2	0.0	0.0
Information Ratio	-0.11	-0.11
Calmar	785.52	-
Skew	0.88	6.23
Kurtosis	0.26	44.24
Expected Daily	0.07%	0.08%
Expected Monthly	1.38%	1.5%
Expected Yearly	9.34%	10.19%
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	243
Max Consecutive Losses	1	0
Gain/Pain Ratio	197.68	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	198.68	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	1.44
Outlier Win Ratio	3.27	3.09
Outlier Loss Ratio	-1.22	-
MTD	0.06%	0.08%
3M	5.31%	4.96%
6M	10.68%	10.53%
YTD	10.68%	10.53%
1Y	19.56%	21.41%
3Y (ann.)	21.07%	23.08%
5Y (ann.)	21.07%	23.08%
10Y (ann.)	21.07%	23.08%
All-time (ann.)	21.07%	23.08%
Best Day	0.22%	0.28%
Worst Day	-0.03%	0.0%
Best Month	1.81%	1.83%
Worst Month	0.06%	0.08%
Best Year	10.68%	10.53%
Worst Year	8.03%	9.84%
Avg. Drawdown	-0.02%	-
Avg. Drawdown Days	-	-
Recovery Factor	729.13	-
Ulcer Index	0.0	0.0
Serenity Index	73169.39	-
Avg. Up Month	1.39%	1.5%
Avg. Down Month	-	-
Win Days	97.87%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.09	-
Alpha	0.2	-
Correlation	-5.2%	-
Treynor Ratio	-214.95%	-