BCSW RUB[Strategy] vs Deposit RUB[Benchmark]

11 Apr, 2025 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	7.11%	18.57%
CAGR﹪	6.74%	17.57%
Sharpe	0.68	67.14
Prob. Sharpe Ratio	75.58%	100.0%
Smart Sharpe	0.66	65.27
Sortino	0.99	-
Smart Sortino	0.96	-
Sortino/√2	0.7	-
Smart Sortino/√2	0.68	-
Omega	1.12	1.12
Max Drawdown	-7.08%	-
Longest DD Days	-	-
Volatility (ann.)	10.48%	0.24%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	0.95	-
Skew	0.08	1.74
Kurtosis	0.51	5.68
Expected Daily	0.03%	0.06%
Expected Monthly	0.53%	1.32%
Expected Yearly	3.49%	8.89%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.06%	-0.04%
Expected Shortfall (cVaR)	-1.06%	-0.04%
Max Consecutive Wins	7	264
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.12	-
Gain/Pain (1M)	1.11	-
Payoff Ratio	-	-
Profit Factor	1.12	-
Common Sense Ratio	1.21	-
CPC Index	-	-
Tail Ratio	1.09	1.6
Outlier Win Ratio	1.88	13.51
Outlier Loss Ratio	1.24	-
MTD	-3.13%	1.12%
3M	-2.16%	3.46%
6M	4.73%	7.55%
YTD	-0.18%	4.71%
1Y	5.96%	16.92%
3Y (ann.)	6.74%	17.57%
5Y (ann.)	6.74%	17.57%
10Y (ann.)	6.74%	17.57%
All-time (ann.)	6.74%	17.57%
Best Day	2.58%	0.12%
Worst Day	-1.67%	0.0%
Best Month	3.3%	1.62%
Worst Month	-3.13%	1.12%
Best Year	7.31%	13.23%
Worst Year	-0.18%	4.71%
Avg. Drawdown	-2.22%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.0	-
Ulcer Index	0.03	0.0
Serenity Index	0.3	-
Avg. Up Month	1.55%	1.32%
Avg. Down Month	-	-
Win Days	55.51%	100.0%
Win Month	69.23%	100.0%
Win Quarter	80.0%	100.0%
Win Year	50.0%	100.0%
Beta	0.92	-
Alpha	-0.08	-
Correlation	2.12%	-
Treynor Ratio	7.71%	-