BCSG RUB[Strategy] vs Deposit RUB[Benchmark]

22 May, 2025 - 14 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	36.64%	15.82%
CAGR﹪	41.69%	17.81%
Sharpe	1.38	36.43
Prob. Sharpe Ratio	88.39%	100.0%
Smart Sharpe	1.18	31.14
Sortino	1.84	-
Smart Sortino	1.57	-
Sortino/√2	1.3	-
Smart Sortino/√2	1.11	-
Omega	1.3	1.3
Max Drawdown	-15.48%	-
Longest DD Days	-	-
Volatility (ann.)	28.1%	0.45%
R^2	0.0	0.0
Information Ratio	0.05	0.05
Calmar	2.69	-
Skew	-1.98	5.17
Kurtosis	13.09	28.01
Expected Daily	0.14%	0.07%
Expected Monthly	2.64%	1.23%
Expected Yearly	16.89%	7.62%
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	225
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.3	-
Gain/Pain (1M)	2.61	-
Payoff Ratio	-	-
Profit Factor	1.3	-
Common Sense Ratio	1.62	-
CPC Index	-	-
Tail Ratio	1.25	1.48
Outlier Win Ratio	1.72	31.29
Outlier Loss Ratio	2.38	-
MTD	-3.3%	0.51%
3M	-0.0%	3.72%
6M	8.35%	7.62%
YTD	4.56%	4.09%
1Y	36.64%	15.82%
3Y (ann.)	41.69%	17.81%
5Y (ann.)	41.69%	17.81%
10Y (ann.)	41.69%	17.81%
All-time (ann.)	41.69%	17.81%
Best Day	4.84%	0.23%
Worst Day	-12.74%	0.0%
Best Month	20.44%	1.53%
Worst Month	-8.25%	0.51%
Best Year	30.69%	11.27%
Worst Year	4.56%	4.09%
Avg. Drawdown	-3.24%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.37	-
Ulcer Index	0.05	0.0
Serenity Index	1.25	-
Avg. Up Month	6.22%	1.3%
Avg. Down Month	-	-
Win Days	54.38%	100.0%
Win Month	66.67%	100.0%
Win Quarter	60.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.77	-
Alpha	0.26	-
Correlation	1.24%	-
Treynor Ratio	47.36%	-