BCSG RUB[Strategy] vs Deposit RUB[Benchmark]

22 May, 2025 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	97.0%
Cumulative Return	-0.89%	3.4%
CAGR﹪	-6.73%	29.65%
Sharpe	-0.38	25.72
Prob. Sharpe Ratio	44.7%	-
Smart Sharpe	-0.36	24.95
Sortino	-0.56	-
Smart Sortino	-0.55	-
Sortino/√2	-0.4	-
Smart Sortino/√2	-0.39	-
Omega	0.94	0.94
Max Drawdown	-4.61%	-
Longest DD Days	-	-
Volatility (ann.)	15.24%	0.99%
R^2	0.0	0.0
Information Ratio	-0.13	-0.13
Calmar	-1.46	-
Skew	0.4	1.5
Kurtosis	0.41	0.92
Expected Daily	-0.03%	0.1%
Expected Monthly	-0.3%	1.12%
Expected Yearly	-0.89%	3.4%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.6%	-0.0%
Expected Shortfall (cVaR)	-1.6%	-0.0%
Max Consecutive Wins	3	32
Max Consecutive Losses	4	0
Gain/Pain Ratio	-0.06	-
Gain/Pain (1M)	-0.55	-
Payoff Ratio	-	-
Profit Factor	0.94	-
Common Sense Ratio	1.09	-
CPC Index	-	-
Tail Ratio	1.17	3.02
Outlier Win Ratio	1.59	11.79
Outlier Loss Ratio	1.36	-
MTD	0.2%	0.46%
3M	-0.89%	3.4%
6M	-0.89%	3.4%
YTD	-0.89%	3.4%
1Y	-0.89%	3.4%
3Y (ann.)	-6.73%	29.65%
5Y (ann.)	-6.73%	29.65%
10Y (ann.)	-6.73%	29.65%
All-time (ann.)	-6.73%	29.65%
Best Day	2.29%	0.23%
Worst Day	-1.97%	0.0%
Best Month	0.4%	1.53%
Worst Month	-1.48%	0.46%
Best Year	-0.89%	3.4%
Worst Year	-0.89%	3.4%
Avg. Drawdown	-2.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.19	-
Ulcer Index	0.02	0.0
Serenity Index	-0.09	-
Avg. Up Month	0.3%	0.92%
Avg. Down Month	-	-
Win Days	41.94%	100.0%
Win Month	66.67%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.65	-
Alpha	-0.22	-
Correlation	4.21%	-
Treynor Ratio	-1.38%	-