BCSB[Strategy] vs RUB Inflation[Benchmark]

15 Mar, 2021 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	53.12%	37.7%
CAGR﹪	9.43%	7.0%
Sharpe	0.56	20.22
Prob. Sharpe Ratio	88.28%	100.0%
Smart Sharpe	0.32	11.47
Sortino	0.81	81.77
Smart Sortino	0.46	46.37
Sortino/√2	0.57	57.82
Smart Sortino/√2	0.33	32.79
Omega	1.21	1.21
Max Drawdown	-29.99%	-1.25%
Longest DD Days	253	209
Volatility (ann.)	19.46%	0.34%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.31	5.58
Skew	0.89	0.01
Kurtosis	286.26	0.75
Expected Daily	0.04%	0.03%
Expected Monthly	0.75%	0.56%
Expected Yearly	8.89%	6.61%
Kelly Criterion	-12.1%	88.11%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.97%	-0.01%
Expected Shortfall (cVaR)	-1.97%	-0.01%
Max Consecutive Wins	9	748
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.21	19.24
Gain/Pain (1M)	2.82	19.24
Payoff Ratio	0.68	1.57
Profit Factor	1.21	20.24
Common Sense Ratio	1.41	66.5
CPC Index	0.45	29.54
Tail Ratio	1.17	3.29
Outlier Win Ratio	2.35	33.87
Outlier Loss Ratio	2.15	54.83
MTD	0.36%	0.11%
3M	2.66%	1.33%
6M	13.29%	1.73%
YTD	28.05%	5.39%
1Y	35.63%	6.59%
3Y (ann.)	12.45%	7.62%
5Y (ann.)	9.43%	7.0%
10Y (ann.)	9.43%	7.0%
All-time (ann.)	9.43%	7.0%
Best Day	25.56%	0.09%
Worst Day	-24.07%	-0.02%
Best Month	6.35%	1.56%
Worst Month	-9.42%	-0.52%
Best Year	28.05%	9.51%
Worst Year	2.57%	4.01%
Avg. Drawdown	-1.06%	-0.83%
Avg. Drawdown Days	13	136
Recovery Factor	1.77	30.04
Ulcer Index	0.04	0.0
Serenity Index	2.64	4.53
Avg. Up Month	1.53%	0.56%
Avg. Down Month	-	-
Win Days	54.67%	92.73%
Win Month	75.44%	92.98%
Win Quarter	75.0%	95.0%
Win Year	100.0%	100.0%
Beta	-1.32	-
Alpha	0.2	-
Correlation	-2.29%	-
Treynor Ratio	-40.09%	-