BCSR RUB[Strategy] vs Deposit RUB[Benchmark]

15 Nov, 2024 - 16 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	12.49%	20.45%
CAGR﹪	13.68%	22.48%
Sharpe	0.6	53.89
Prob. Sharpe Ratio	72.39%	100.0%
Smart Sharpe	0.55	49.72
Sortino	0.95	-
Smart Sortino	0.87	-
Sortino/√2	0.67	-
Smart Sortino/√2	0.62	-
Omega	1.11	1.11
Max Drawdown	-19.22%	-
Longest DD Days	-	-
Volatility (ann.)	26.18%	0.36%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.71	-
Skew	0.8	2.16
Kurtosis	3.1	7.07
Expected Daily	0.05%	0.08%
Expected Monthly	0.99%	1.56%
Expected Yearly	6.06%	9.75%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-0.04%
Expected Shortfall (cVaR)	-2.65%	-0.04%
Max Consecutive Wins	6	239
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.11	-
Gain/Pain (1M)	0.74	-
Payoff Ratio	-	-
Profit Factor	1.11	-
Common Sense Ratio	1.25	-
CPC Index	-	-
Tail Ratio	1.12	1.82
Outlier Win Ratio	2.3	33.79
Outlier Loss Ratio	1.27	-
MTD	0.99%	1.29%
3M	0.09%	4.69%
6M	0.27%	9.61%
YTD	-0.09%	16.38%
1Y	12.49%	20.45%
3Y (ann.)	13.68%	22.48%
5Y (ann.)	13.68%	22.48%
10Y (ann.)	13.68%	22.48%
All-time (ann.)	13.68%	22.48%
Best Day	8.43%	0.17%
Worst Day	-4.2%	0.0%
Best Month	14.42%	1.81%
Worst Month	-7.55%	1.29%
Best Year	12.59%	16.38%
Worst Year	-0.09%	3.5%
Avg. Drawdown	-4.88%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.65	-
Ulcer Index	0.1	0.0
Serenity Index	0.11	-
Avg. Up Month	5.82%	1.58%
Avg. Down Month	-	-
Win Days	51.8%	100.0%
Win Month	50.0%	100.0%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	1.32	-
Alpha	-0.1	-
Correlation	1.83%	-
Treynor Ratio	9.43%	-