BCSB[Strategy] vs INav[Benchmark]

24 Mar, 2021 - 9 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	73.0%
Cumulative Return	56.52%	57.11%
CAGR﹪	9.45%	9.53%
Sharpe	0.22	0.34
Prob. Sharpe Ratio	12.65%	51.8%
Smart Sharpe	0.13	0.19
Sortino	0.32	0.41
Smart Sortino	0.18	0.23
Sortino/√2	0.23	0.29
Smart Sortino/√2	0.13	0.17
Omega	1.08	1.08
Max Drawdown	-29.99%	-19.38%
Longest DD Days	253	234
Volatility (ann.)	19.14%	8.44%
R^2	0.64	0.64
Information Ratio	0.01	0.01
Calmar	0.32	0.49
Skew	0.9	-10.17
Kurtosis	294.83	326.08
Expected Daily	0.04%	0.04%
Expected Monthly	0.75%	0.76%
Expected Yearly	7.75%	7.82%
Kelly Criterion	-1.49%	19.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.94%	-0.84%
Expected Shortfall (cVaR)	-1.94%	-0.84%
Max Consecutive Wins	9	21
Max Consecutive Losses	9	11
Gain/Pain Ratio	0.21	0.53
Gain/Pain (1M)	2.8	1.73
Payoff Ratio	0.81	0.71
Profit Factor	1.21	1.53
Common Sense Ratio	1.39	1.83
CPC Index	0.53	0.72
Tail Ratio	1.15	1.2
Outlier Win Ratio	3.31	10.03
Outlier Loss Ratio	2.96	4.84
MTD	1.31%	0.64%
3M	2.37%	2.48%
6M	4.34%	5.09%
YTD	3.23%	3.09%
1Y	24.19%	22.6%
3Y (ann.)	11.67%	12.1%
5Y (ann.)	9.52%	9.56%
10Y (ann.)	9.45%	9.53%
All-time (ann.)	9.45%	9.53%
Best Day	25.56%	7.45%
Worst Day	-24.07%	-12.97%
Best Month	6.35%	6.44%
Worst Month	-9.42%	-10.6%
Best Year	26.31%	26.01%
Worst Year	2.97%	2.81%
Avg. Drawdown	-1.1%	-0.99%
Avg. Drawdown Days	14	19
Recovery Factor	1.88	2.95
Ulcer Index	0.04	0.03
Serenity Index	2.49	1.77
Avg. Up Month	1.78%	1.76%
Avg. Down Month	-2.25%	-2.43%
Win Days	54.63%	66.56%
Win Month	75.0%	76.27%
Win Quarter	76.19%	80.95%
Win Year	100.0%	100.0%
Beta	1.81	-
Alpha	-0.06	-
Correlation	80.0%	-
Treynor Ratio	27.31%	-