BCSG RUB[Strategy] vs Deposit RUB[Benchmark]

22 May, 2025 - 28 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	99.0%
Cumulative Return	4.67%	5.73%
CAGR﹪	18.52%	23.06%
Sharpe	1.17	26.75
Prob. Sharpe Ratio	72.92%	100.0%
Smart Sharpe	1.11	25.56
Sortino	1.77	-
Smart Sortino	1.69	-
Sortino/√2	1.25	-
Smart Sortino/√2	1.2	-
Omega	1.21	1.21
Max Drawdown	-4.61%	-
Longest DD Days	-	-
Volatility (ann.)	15.04%	0.75%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	4.02	-
Skew	-0.01	2.73
Kurtosis	-0.25	6.53
Expected Daily	0.07%	0.08%
Expected Monthly	1.15%	1.4%
Expected Yearly	4.67%	5.73%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.49%	-0.0%
Expected Shortfall (cVaR)	-1.49%	-0.0%
Max Consecutive Wins	3	69
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.21	-
Gain/Pain (1M)	3.56	-
Payoff Ratio	-	-
Profit Factor	1.21	-
Common Sense Ratio	1.22	-
CPC Index	-	-
Tail Ratio	1.01	3.87
Outlier Win Ratio	1.41	14.05
Outlier Loss Ratio	1.39	-
MTD	3.43%	1.32%
3M	4.67%	5.01%
6M	4.67%	5.73%
YTD	4.67%	5.73%
1Y	4.67%	5.73%
3Y (ann.)	18.52%	23.06%
5Y (ann.)	18.52%	23.06%
10Y (ann.)	18.52%	23.06%
All-time (ann.)	18.52%	23.06%
Best Day	2.29%	0.23%
Worst Day	-2.0%	0.0%
Best Month	3.43%	1.53%
Worst Month	-1.48%	1.32%
Best Year	4.67%	5.73%
Worst Year	4.67%	5.73%
Avg. Drawdown	-2.33%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.01	-
Ulcer Index	0.02	0.0
Serenity Index	0.53	-
Avg. Up Month	2.05%	1.36%
Avg. Down Month	-	-
Win Days	49.25%	100.0%
Win Month	75.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.14	-
Alpha	0.2	-
Correlation	-0.71%	-
Treynor Ratio	-32.7%	-