BCSW RUB[Strategy] vs Deposit RUB[Benchmark]

11 Apr, 2025 - 24 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	5.33%	23.71%
CAGR﹪	3.86%	16.8%
Sharpe	0.41	67.13
Prob. Sharpe Ratio	68.47%	100.0%
Smart Sharpe	0.41	66.15
Sortino	0.59	-
Smart Sortino	0.58	-
Sortino/√2	0.42	-
Smart Sortino/√2	0.41	-
Omega	1.07	1.07
Max Drawdown	-13.11%	-
Longest DD Days	-	-
Volatility (ann.)	10.58%	0.23%
R^2	0.0	0.0
Information Ratio	-0.07	-0.07
Calmar	0.29	-
Skew	0.06	1.84
Kurtosis	0.31	6.2
Expected Daily	0.02%	0.06%
Expected Monthly	0.31%	1.26%
Expected Yearly	2.63%	11.22%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-0.04%
Expected Shortfall (cVaR)	-1.08%	-0.04%
Max Consecutive Wins	7	344
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.07	-
Gain/Pain (1M)	0.64	-
Payoff Ratio	-	-
Profit Factor	1.07	-
Common Sense Ratio	1.09	-
CPC Index	-	-
Tail Ratio	1.02	1.73
Outlier Win Ratio	1.79	13.48
Outlier Loss Ratio	1.24	-
MTD	1.04%	1.07%
3M	-0.84%	3.52%
6M	-3.18%	6.95%
YTD	-1.84%	9.25%
1Y	-0.28%	15.35%
3Y (ann.)	3.86%	16.8%
5Y (ann.)	3.86%	16.8%
10Y (ann.)	3.86%	16.8%
All-time (ann.)	3.86%	16.8%
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	-1.84%	9.25%
Avg. Drawdown	-2.79%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.41	-
Ulcer Index	0.05	0.0
Serenity Index	0.09	-
Avg. Up Month	1.5%	1.29%
Avg. Down Month	-	-
Win Days	53.97%	100.0%
Win Month	58.82%	100.0%
Win Quarter	83.33%	100.0%
Win Year	50.0%	100.0%
Beta	1.49	-
Alpha	-0.19	-
Correlation	3.25%	-
Treynor Ratio	3.59%	-