BCSE RUB[Strategy] vs Deposit RUB[Benchmark]

5 Sep, 2025 - 10 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-6.28%	14.0%
CAGR﹪	-6.74%	15.15%
Sharpe	-0.25	100.95
Prob. Sharpe Ratio	40.54%	100.0%
Smart Sharpe	-0.23	91.21
Sortino	-0.36	-
Smart Sortino	-0.32	-
Sortino/√2	-0.25	-
Smart Sortino/√2	-0.23	-
Omega	0.96	0.96
Max Drawdown	-18.78%	-
Longest DD Days	-	-
Volatility (ann.)	20.06%	0.14%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	-0.36	-
Skew	0.14	-0.58
Kurtosis	0.39	5.8
Expected Daily	-0.03%	0.06%
Expected Monthly	-0.54%	1.1%
Expected Yearly	-3.19%	6.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.1%	-0.04%
Expected Shortfall (cVaR)	-2.1%	-0.04%
Max Consecutive Wins	6	232
Max Consecutive Losses	10	0
Gain/Pain Ratio	-0.04	-
Gain/Pain (1M)	-0.19	-
Payoff Ratio	-	-
Profit Factor	0.96	-
Common Sense Ratio	0.93	-
CPC Index	-	-
Tail Ratio	0.97	1.55
Outlier Win Ratio	1.55	26.75
Outlier Loss Ratio	1.47	-
MTD	3.83%	0.28%
3M	7.3%	3.26%
6M	3.27%	6.7%
YTD	0.9%	8.39%
1Y	-6.28%	14.0%
3Y (ann.)	-6.74%	15.15%
5Y (ann.)	-6.74%	15.15%
10Y (ann.)	-6.74%	15.15%
All-time (ann.)	-6.74%	15.15%
Best Day	4.5%	0.07%
Worst Day	-3.47%	0.0%
Best Month	8.79%	1.3%
Worst Month	-5.97%	0.28%
Best Year	0.9%	8.39%
Worst Year	-7.12%	5.18%
Avg. Drawdown	-18.78%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.33	-
Ulcer Index	0.11	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.97%	0.98%
Avg. Down Month	-	-
Win Days	47.79%	100.0%
Win Month	41.67%	100.0%
Win Quarter	40.0%	100.0%
Win Year	50.0%	100.0%
Beta	-9.94	-
Alpha	1.36	-
Correlation	-6.96%	-
Treynor Ratio	0.63%	-