BCSG RUB[Strategy] vs Deposit RUB[Benchmark]

22 May, 2025 - 14 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	20.16%	19.6%
CAGR﹪	17.39%	16.92%
Sharpe	0.7	38.24
Prob. Sharpe Ratio	76.69%	100.0%
Smart Sharpe	0.61	33.26
Sortino	0.95	-
Smart Sortino	0.83	-
Sortino/√2	0.67	-
Smart Sortino/√2	0.59	-
Omega	1.13	1.13
Max Drawdown	-30.39%	-
Longest DD Days	-	-
Volatility (ann.)	28.84%	0.41%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.57	-
Skew	-1.25	5.71
Kurtosis	9.12	35.16
Expected Daily	0.06%	0.06%
Expected Monthly	1.23%	1.2%
Expected Yearly	9.62%	9.36%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.91%	-0.02%
Expected Shortfall (cVaR)	-2.91%	-0.02%
Max Consecutive Wins	7	288
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.13	-
Gain/Pain (1M)	0.91	-
Payoff Ratio	-	-
Profit Factor	1.13	-
Common Sense Ratio	1.24	-
CPC Index	-	-
Tail Ratio	1.1	1.54
Outlier Win Ratio	1.6	33.03
Outlier Loss Ratio	1.98	-
MTD	0.25%	0.5%
3M	-12.06%	3.33%
6M	-12.06%	7.1%
YTD	-8.05%	7.49%
1Y	18.74%	15.57%
3Y (ann.)	17.39%	16.92%
5Y (ann.)	17.39%	16.92%
10Y (ann.)	17.39%	16.92%
All-time (ann.)	17.39%	16.92%
Best Day	6.66%	0.23%
Worst Day	-12.74%	0.0%
Best Month	20.44%	1.53%
Worst Month	-8.25%	0.5%
Best Year	30.69%	11.27%
Worst Year	-8.05%	7.49%
Avg. Drawdown	-4.03%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.66	-
Ulcer Index	0.11	0.0
Serenity Index	0.15	-
Avg. Up Month	5.56%	1.22%
Avg. Down Month	-	-
Win Days	51.43%	100.0%
Win Month	60.0%	100.0%
Win Quarter	66.67%	100.0%
Win Year	50.0%	100.0%
Beta	1.94	-
Alpha	-0.1	-
Correlation	2.75%	-
Treynor Ratio	10.38%	-