BCSW RUB[Strategy] vs Deposit RUB[Benchmark]

11 Apr, 2025 - 13 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	1.48%	21.65%
CAGR﹪	1.18%	16.9%
Sharpe	0.16	66.93
Prob. Sharpe Ratio	57.29%	100.0%
Smart Sharpe	0.16	66.06
Sortino	0.24	-
Smart Sortino	0.23	-
Sortino/√2	0.17	-
Smart Sortino/√2	0.16	-
Omega	1.03	1.03
Max Drawdown	-11.46%	-
Longest DD Days	-	-
Volatility (ann.)	10.45%	0.23%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	0.1	-
Skew	0.1	1.91
Kurtosis	0.35	6.27
Expected Daily	0.0%	0.06%
Expected Monthly	0.09%	1.23%
Expected Yearly	0.74%	10.29%
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	314
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.18	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	1.05	-
CPC Index	-	-
Tail Ratio	1.02	1.63
Outlier Win Ratio	1.89	13.76
Outlier Loss Ratio	1.21	-
MTD	-3.11%	0.45%
3M	-6.38%	3.33%
6M	-5.86%	7.13%
YTD	-5.43%	7.43%
1Y	2.59%	15.51%
3Y (ann.)	1.18%	16.9%
5Y (ann.)	1.18%	16.9%
10Y (ann.)	1.18%	16.9%
All-time (ann.)	1.18%	16.9%
Best Day	2.58%	0.12%
Worst Day	-1.67%	0.0%
Best Month	3.3%	1.62%
Worst Month	-3.13%	0.45%
Best Year	7.31%	13.23%
Worst Year	-5.43%	7.43%
Avg. Drawdown	-2.66%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.13	-
Ulcer Index	0.04	0.0
Serenity Index	0.03	-
Avg. Up Month	1.55%	1.32%
Avg. Down Month	-	-
Win Days	53.47%	100.0%
Win Month	56.25%	100.0%
Win Quarter	66.67%	100.0%
Win Year	50.0%	100.0%
Beta	1.92	-
Alpha	-0.28	-
Correlation	4.31%	-
Treynor Ratio	0.77%	-