BCSG RUB[Strategy] vs Deposit RUB[Benchmark]

22 May, 2025 - 14 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	25.62%	7.72%
CAGR﹪	77.57%	20.57%
Sharpe	3.54	28.47
Prob. Sharpe Ratio	98.92%	100.0%
Smart Sharpe	3.19	25.63
Sortino	6.29	-
Smart Sortino	5.66	-
Sortino/√2	4.45	-
Smart Sortino/√2	4.01	-
Omega	1.77	1.77
Max Drawdown	-4.61%	-
Longest DD Days	-	-
Volatility (ann.)	16.13%	0.64%
R^2	0.0	0.0
Information Ratio	0.15	0.15
Calmar	16.84	-
Skew	0.1	3.48
Kurtosis	-0.29	11.47
Expected Daily	0.22%	0.07%
Expected Monthly	3.87%	1.25%
Expected Yearly	25.62%	7.72%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.45%	-0.01%
Expected Shortfall (cVaR)	-1.45%	-0.01%
Max Consecutive Wins	7	102
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.77	-
Gain/Pain (1M)	17.05	-
Payoff Ratio	-	-
Profit Factor	1.77	-
Common Sense Ratio	2.23	-
CPC Index	-	-
Tail Ratio	1.27	3.65
Outlier Win Ratio	1.34	17.57
Outlier Loss Ratio	1.44	-
MTD	4.89%	0.59%
3M	24.14%	4.08%
6M	25.62%	7.72%
YTD	25.62%	7.72%
1Y	25.62%	7.72%
3Y (ann.)	77.57%	20.57%
5Y (ann.)	77.57%	20.57%
10Y (ann.)	77.57%	20.57%
All-time (ann.)	77.57%	20.57%
Best Day	2.67%	0.23%
Worst Day	-2.0%	0.0%
Best Month	12.82%	1.53%
Worst Month	-1.48%	0.59%
Best Year	25.62%	7.72%
Worst Year	25.62%	7.72%
Avg. Drawdown	-1.68%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.56	-
Ulcer Index	0.02	0.0
Serenity Index	4.0	-
Avg. Up Month	5.06%	1.19%
Avg. Down Month	-	-
Win Days	53.54%	100.0%
Win Month	83.33%	100.0%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	-1.49	-
Alpha	0.84	-
Correlation	-5.88%	-
Treynor Ratio	-17.24%	-