BCSW RUB[Strategy] vs Deposit RUB[Benchmark]

11 Apr, 2025 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	99.0%
Cumulative Return	5.63%	7.59%
CAGR﹪	15.58%	21.36%
Sharpe	1.43	63.04
Prob. Sharpe Ratio	80.89%	100.0%
Smart Sharpe	1.39	61.29
Sortino	2.12	-
Smart Sortino	2.06	-
Sortino/√2	1.5	-
Smart Sortino/√2	1.46	-
Omega	1.25	1.25
Max Drawdown	-4.25%	-
Longest DD Days	-	-
Volatility (ann.)	10.42%	0.3%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	3.67	-
Skew	-0.15	0.48
Kurtosis	-0.15	2.77
Expected Daily	0.06%	0.08%
Expected Monthly	1.1%	1.47%
Expected Yearly	5.63%	7.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.02%	-0.04%
Expected Shortfall (cVaR)	-1.02%	-0.04%
Max Consecutive Wins	7	95
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.25	-
Gain/Pain (1M)	3.45	-
Payoff Ratio	-	-
Profit Factor	1.25	-
Common Sense Ratio	1.34	-
CPC Index	-	-
Tail Ratio	1.07	1.98
Outlier Win Ratio	1.51	9.61
Outlier Loss Ratio	1.16	-
MTD	3.98%	1.32%
3M	7.86%	4.62%
6M	5.63%	7.59%
YTD	5.63%	7.59%
1Y	5.63%	7.59%
3Y (ann.)	15.58%	21.36%
5Y (ann.)	15.58%	21.36%
10Y (ann.)	15.58%	21.36%
All-time (ann.)	15.58%	21.36%
Best Day	1.64%	0.12%
Worst Day	-1.58%	0.0%
Best Month	3.98%	1.62%
Worst Month	-1.67%	1.32%
Best Year	5.63%	7.59%
Worst Year	5.63%	7.59%
Avg. Drawdown	-1.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.32	-
Ulcer Index	0.02	0.0
Serenity Index	0.46	-
Avg. Up Month	1.81%	1.44%
Avg. Down Month	-	-
Win Days	58.24%	100.0%
Win Month	80.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.72	-
Alpha	0.29	-
Correlation	-2.12%	-
Treynor Ratio	-7.77%	-