BCSW RUB[Strategy] vs Deposit RUB[Benchmark]

11 Apr, 2025 - 6 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	98.0%
Cumulative Return	-0.39%	3.59%
CAGR﹪	-2.55%	25.81%
Sharpe	-0.2	62.65
Prob. Sharpe Ratio	46.86%	100.0%
Smart Sharpe	-0.19	57.85
Sortino	-0.26	-
Smart Sortino	-0.24	-
Sortino/√2	-0.19	-
Smart Sortino/√2	-0.17	-
Omega	0.97	0.97
Max Drawdown	-4.25%	-
Longest DD Days	-	-
Volatility (ann.)	10.15%	0.36%
R^2	0.0	0.0
Information Ratio	-0.15	-0.15
Calmar	-0.6	-
Skew	-0.55	-1.2
Kurtosis	-0.23	4.98
Expected Daily	-0.01%	0.09%
Expected Monthly	-0.13%	1.18%
Expected Yearly	-0.39%	3.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.06%	-0.05%
Expected Shortfall (cVaR)	-1.06%	-0.05%
Max Consecutive Wins	7	38
Max Consecutive Losses	4	0
Gain/Pain Ratio	-0.03	-
Gain/Pain (1M)	-0.19	-
Payoff Ratio	-	-
Profit Factor	0.97	-
Common Sense Ratio	0.66	-
CPC Index	-	-
Tail Ratio	0.69	1.46
Outlier Win Ratio	1.43	6.46
Outlier Loss Ratio	1.03	-
MTD	0.6%	0.4%
3M	-0.39%	3.59%
6M	-0.39%	3.59%
YTD	-0.39%	3.59%
1Y	-0.39%	3.59%
3Y (ann.)	-2.55%	25.81%
5Y (ann.)	-2.55%	25.81%
10Y (ann.)	-2.55%	25.81%
All-time (ann.)	-2.55%	25.81%
Best Day	1.2%	0.12%
Worst Day	-1.58%	0.0%
Best Month	0.69%	1.62%
Worst Month	-1.67%	0.4%
Best Year	-0.39%	3.59%
Worst Year	-0.39%	3.59%
Avg. Drawdown	-2.91%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.09	-
Ulcer Index	0.02	0.0
Serenity Index	-0.03	-
Avg. Up Month	0.64%	0.97%
Avg. Down Month	-	-
Win Days	58.33%	100.0%
Win Month	66.67%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	1.48	-
Alpha	-0.36	-
Correlation	5.32%	-
Treynor Ratio	-0.27%	-