BCSG RUB[Strategy] vs Deposit RUB[Benchmark]

22 May, 2025 - 29 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	22.14%	17.75%
CAGR﹪	21.69%	17.39%
Sharpe	0.85	37.42
Prob. Sharpe Ratio	79.27%	100.0%
Smart Sharpe	0.75	32.92
Sortino	1.12	-
Smart Sortino	0.98	-
Sortino/√2	0.79	-
Smart Sortino/√2	0.7	-
Omega	1.17	1.17
Max Drawdown	-24.5%	-
Longest DD Days	-	-
Volatility (ann.)	27.58%	0.43%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.89	-
Skew	-1.82	5.45
Kurtosis	12.07	31.72
Expected Daily	0.08%	0.06%
Expected Monthly	1.55%	1.26%
Expected Yearly	10.52%	8.51%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.76%	-0.02%
Expected Shortfall (cVaR)	-2.76%	-0.02%
Max Consecutive Wins	7	257
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	0.99	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.34	-
CPC Index	-	-
Tail Ratio	1.15	1.54
Outlier Win Ratio	1.71	31.92
Outlier Loss Ratio	2.2	-
MTD	-6.53%	1.09%
3M	-20.7%	3.34%
6M	-1.36%	7.17%
YTD	-6.53%	5.83%
1Y	22.39%	16.68%
3Y (ann.)	21.69%	17.39%
5Y (ann.)	21.69%	17.39%
10Y (ann.)	21.69%	17.39%
All-time (ann.)	21.69%	17.39%
Best Day	4.84%	0.23%
Worst Day	-12.74%	0.0%
Best Month	20.44%	1.53%
Worst Month	-8.25%	1.09%
Best Year	30.69%	11.27%
Worst Year	-6.53%	5.83%
Avg. Drawdown	-3.72%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.9	-
Ulcer Index	0.08	0.0
Serenity Index	0.3	-
Avg. Up Month	6.22%	1.3%
Avg. Down Month	-	-
Win Days	52.8%	100.0%
Win Month	61.54%	100.0%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	1.75	-
Alpha	-0.05	-
Correlation	2.71%	-
Treynor Ratio	12.66%	-