BCSW RUB[Strategy] vs Deposit RUB[Benchmark]

11 Apr, 2025 - 8 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	99.0%
Cumulative Return	4.05%	6.57%
CAGR﹪	12.94%	21.55%
Sharpe	1.19	58.25
Prob. Sharpe Ratio	75.01%	100.0%
Smart Sharpe	1.16	56.47
Sortino	1.71	-
Smart Sortino	1.66	-
Sortino/√2	1.21	-
Smart Sortino/√2	1.18	-
Omega	1.21	1.21
Max Drawdown	-4.25%	-
Longest DD Days	-	-
Volatility (ann.)	10.55%	0.33%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	3.05	-
Skew	-0.27	0.34
Kurtosis	-0.22	1.79
Expected Daily	0.05%	0.08%
Expected Monthly	0.8%	1.28%
Expected Yearly	4.05%	6.57%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-0.04%
Expected Shortfall (cVaR)	-1.04%	-0.04%
Max Consecutive Wins	7	82
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.21	-
Gain/Pain (1M)	2.52	-
Payoff Ratio	-	-
Profit Factor	1.21	-
Common Sense Ratio	1.15	-
CPC Index	-	-
Tail Ratio	0.96	1.98
Outlier Win Ratio	1.46	9.11
Outlier Loss Ratio	1.11	-
MTD	2.43%	0.36%
3M	3.84%	4.63%
6M	4.05%	6.57%
YTD	4.05%	6.57%
1Y	4.05%	6.57%
3Y (ann.)	12.94%	21.55%
5Y (ann.)	12.94%	21.55%
10Y (ann.)	12.94%	21.55%
All-time (ann.)	12.94%	21.55%
Best Day	1.64%	0.12%
Worst Day	-1.58%	0.0%
Best Month	2.43%	1.62%
Worst Month	-1.67%	0.36%
Best Year	4.05%	6.57%
Worst Year	4.05%	6.57%
Avg. Drawdown	-1.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.95	-
Ulcer Index	0.02	0.0
Serenity Index	0.3	-
Avg. Up Month	1.42%	1.2%
Avg. Down Month	-	-
Win Days	58.97%	100.0%
Win Month	80.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-1.12	-
Alpha	0.34	-
Correlation	-3.52%	-
Treynor Ratio	-3.61%	-