BCSR RUB[Strategy] vs Deposit RUB[Benchmark]

15 Nov, 2024 - 14 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-7.09%	32.82%
CAGR﹪	-4.33%	18.64%
Sharpe	-0.07	54.11
Prob. Sharpe Ratio	46.28%	100.0%
Smart Sharpe	-0.07	50.87
Sortino	-0.11	-
Smart Sortino	-0.1	-
Sortino/√2	-0.08	-
Smart Sortino/√2	-0.07	-
Omega	0.99	0.99
Max Drawdown	-30.21%	-
Longest DD Days	-	-
Volatility (ann.)	23.29%	0.31%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.14	-
Skew	0.65	2.88
Kurtosis	3.59	12.55
Expected Daily	-0.02%	0.07%
Expected Monthly	-0.35%	1.36%
Expected Yearly	-2.42%	9.92%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.42%	-0.03%
Expected Shortfall (cVaR)	-2.42%	-0.03%
Max Consecutive Wins	6	423
Max Consecutive Losses	5	0
Gain/Pain Ratio	-0.01	-
Gain/Pain (1M)	-0.06	-
Payoff Ratio	-	-
Profit Factor	0.99	-
Common Sense Ratio	0.96	-
CPC Index	-	-
Tail Ratio	0.98	1.76
Outlier Win Ratio	1.89	28.32
Outlier Loss Ratio	1.57	-
MTD	-6.63%	0.5%
3M	-18.49%	3.33%
6M	-18.56%	7.1%
YTD	-19.27%	7.49%
1Y	-13.81%	15.57%
3Y (ann.)	-4.33%	18.64%
5Y (ann.)	-4.33%	18.64%
10Y (ann.)	-4.33%	18.64%
All-time (ann.)	-4.33%	18.64%
Best Day	8.43%	0.17%
Worst Day	-4.48%	0.0%
Best Month	14.42%	1.81%
Worst Month	-8.62%	0.5%
Best Year	12.59%	19.38%
Worst Year	-19.27%	3.5%
Avg. Drawdown	-6.25%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.23	-
Ulcer Index	0.13	0.0
Serenity Index	-0.04	-
Avg. Up Month	5.78%	1.5%
Avg. Down Month	-	-
Win Days	48.99%	100.0%
Win Month	38.1%	100.0%
Win Quarter	50.0%	100.0%
Win Year	66.67%	100.0%
Beta	4.17	-
Alpha	-0.72	-
Correlation	5.58%	-
Treynor Ratio	-1.7%	-