BCSE RUB[Strategy] vs Deposit RUB[Benchmark]

5 Sep, 2025 - 25 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-4.65%	16.15%
CAGR﹪	-4.41%	15.25%
Sharpe	-0.13	107.77
Prob. Sharpe Ratio	44.87%	100.0%
Smart Sharpe	-0.11	96.09
Sortino	-0.18	-
Smart Sortino	-0.16	-
Sortino/√2	-0.13	-
Smart Sortino/√2	-0.11	-
Omega	0.98	0.98
Max Drawdown	-18.78%	-
Longest DD Days	-	-
Volatility (ann.)	19.96%	0.13%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.23	-
Skew	0.14	-0.54
Kurtosis	0.34	6.98
Expected Daily	-0.02%	0.06%
Expected Monthly	-0.37%	1.16%
Expected Yearly	-2.35%	7.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.08%	-0.04%
Expected Shortfall (cVaR)	-2.08%	-0.04%
Max Consecutive Wins	6	266
Max Consecutive Losses	10	0
Gain/Pain Ratio	-0.02	-
Gain/Pain (1M)	-0.1	-
Payoff Ratio	-	-
Profit Factor	0.98	-
Common Sense Ratio	0.96	-
CPC Index	-	-
Tail Ratio	0.98	1.55
Outlier Win Ratio	1.58	27.05
Outlier Loss Ratio	1.43	-
MTD	-1.78%	1.08%
3M	7.95%	3.47%
6M	2.77%	6.91%
YTD	2.66%	10.44%
1Y	-3.55%	15.08%
3Y (ann.)	-4.41%	15.25%
5Y (ann.)	-4.41%	15.25%
10Y (ann.)	-4.41%	15.25%
All-time (ann.)	-4.41%	15.25%
Best Day	4.5%	0.07%
Worst Day	-3.47%	0.0%
Best Month	8.79%	1.3%
Worst Month	-5.97%	1.06%
Best Year	2.66%	10.44%
Worst Year	-7.12%	5.18%
Avg. Drawdown	-18.78%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.25	-
Ulcer Index	0.11	0.0
Serenity Index	-0.03	-
Avg. Up Month	4.72%	1.14%
Avg. Down Month	-	-
Win Days	48.85%	100.0%
Win Month	38.46%	100.0%
Win Quarter	40.0%	100.0%
Win Year	50.0%	100.0%
Beta	-10.14	-
Alpha	1.41	-
Correlation	-6.67%	-
Treynor Ratio	0.46%	-