BCSW RUB[Strategy] vs Deposit RUB[Benchmark]

11 Apr, 2025 - 13 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	9.48%	26.41%
CAGR﹪	6.19%	16.83%
Sharpe	0.61	57.53
Prob. Sharpe Ratio	77.26%	100.0%
Smart Sharpe	0.58	54.78
Sortino	0.89	-
Smart Sortino	0.84	-
Sortino/√2	0.63	-
Smart Sortino/√2	0.6	-
Omega	1.1	1.1
Max Drawdown	-13.11%	-
Longest DD Days	-	-
Volatility (ann.)	10.81%	0.27%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	0.47	-
Skew	0.06	2.02
Kurtosis	0.25	5.03
Expected Daily	0.02%	0.06%
Expected Monthly	0.48%	1.24%
Expected Yearly	4.63%	12.43%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.09%	-0.03%
Expected Shortfall (cVaR)	-1.09%	-0.03%
Max Consecutive Wins	7	380
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	1.07	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.15	-
CPC Index	-	-
Tail Ratio	1.04	2.53
Outlier Win Ratio	1.82	14.15
Outlier Loss Ratio	1.25	-
MTD	2.12%	1.09%
3M	8.62%	4.0%
6M	1.0%	7.38%
YTD	2.02%	11.64%
1Y	6.23%	15.49%
3Y (ann.)	6.19%	16.83%
5Y (ann.)	6.19%	16.83%
10Y (ann.)	6.19%	16.83%
All-time (ann.)	6.19%	16.83%
Best Day	2.58%	0.12%
Worst Day	-1.76%	0.0%
Best Month	3.3%	1.62%
Worst Month	-3.13%	1.06%
Best Year	7.31%	13.23%
Worst Year	2.02%	11.64%
Avg. Drawdown	-2.79%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.72	-
Ulcer Index	0.05	0.0
Serenity Index	0.16	-
Avg. Up Month	1.73%	1.27%
Avg. Down Month	-	-
Win Days	54.02%	100.0%
Win Month	57.89%	100.0%
Win Quarter	85.71%	100.0%
Win Year	100.0%	100.0%
Beta	1.8	-
Alpha	-0.21	-
Correlation	4.49%	-
Treynor Ratio	5.26%	-