BCSE RUB[Strategy] vs Deposit RUB[Benchmark]

5 Sep, 2025 - 16 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	-6.13%	8.95%
CAGR﹪	-11.33%	17.69%
Sharpe	-0.53	73.46
Prob. Sharpe Ratio	35.32%	100.0%
Smart Sharpe	-0.47	64.94
Sortino	-0.77	-
Smart Sortino	-0.68	-
Sortino/√2	-0.54	-
Smart Sortino/√2	-0.48	-
Omega	0.92	0.92
Max Drawdown	-13.41%	-
Longest DD Days	-	-
Volatility (ann.)	19.55%	0.23%
R^2	0.0	0.0
Information Ratio	-0.09	-0.09
Calmar	-0.85	-
Skew	0.4	0.83
Kurtosis	0.96	5.52
Expected Daily	-0.05%	0.07%
Expected Monthly	-0.9%	1.23%
Expected Yearly	-3.11%	4.38%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.07%	-0.04%
Expected Shortfall (cVaR)	-2.07%	-0.04%
Max Consecutive Wins	4	129
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.08	-
Gain/Pain (1M)	-0.41	-
Payoff Ratio	-	-
Profit Factor	0.92	-
Common Sense Ratio	0.98	-
CPC Index	-	-
Tail Ratio	1.07	1.89
Outlier Win Ratio	1.66	23.09
Outlier Loss Ratio	1.38	-
MTD	4.17%	1.16%
3M	0.21%	4.24%
6M	-3.95%	8.48%
YTD	1.06%	3.58%
1Y	-6.13%	8.95%
3Y (ann.)	-11.33%	17.69%
5Y (ann.)	-11.33%	17.69%
10Y (ann.)	-11.33%	17.69%
All-time (ann.)	-11.33%	17.69%
Best Day	4.5%	0.1%
Worst Day	-3.18%	0.0%
Best Month	4.17%	1.3%
Worst Month	-4.58%	1.16%
Best Year	1.06%	5.18%
Worst Year	-7.12%	3.58%
Avg. Drawdown	-13.41%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.46	-
Ulcer Index	0.1	0.0
Serenity Index	-0.06	-
Avg. Up Month	2.54%	1.2%
Avg. Down Month	-	-
Win Days	46.77%	100.0%
Win Month	42.86%	100.0%
Win Quarter	33.33%	100.0%
Win Year	50.0%	100.0%
Beta	4.38	-
Alpha	-0.83	-
Correlation	5.07%	-
Treynor Ratio	-1.4%	-