BCSB[Strategy] vs RUB Inflation[Benchmark]

15 Mar, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	47.57%	36.55%
CAGR﹪	8.84%	7.01%
Sharpe	0.53	19.98
Prob. Sharpe Ratio	86.66%	100.0%
Smart Sharpe	0.3	11.33
Sortino	0.77	80.83
Smart Sortino	0.43	45.84
Sortino/√2	0.54	57.15
Smart Sortino/√2	0.31	32.41
Omega	1.2	1.2
Max Drawdown	-29.99%	-1.25%
Longest DD Days	253	209
Volatility (ann.)	19.71%	0.34%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.29	5.59
Skew	0.88	-0.0
Kurtosis	280.27	0.63
Expected Daily	0.03%	0.03%
Expected Monthly	0.71%	0.57%
Expected Yearly	8.09%	6.43%
Kelly Criterion	-11.79%	87.78%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.0%	-0.01%
Expected Shortfall (cVaR)	-2.0%	-0.01%
Max Consecutive Wins	9	748
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.2	18.73
Gain/Pain (1M)	2.57	18.73
Payoff Ratio	0.68	1.58
Profit Factor	1.2	19.73
Common Sense Ratio	1.39	64.84
CPC Index	0.44	28.89
Tail Ratio	1.16	3.29
Outlier Win Ratio	2.37	33.81
Outlier Loss Ratio	2.16	55.84
MTD	-0.4%	0.2%
3M	3.75%	0.41%
6M	16.37%	1.53%
YTD	23.41%	4.51%
1Y	26.49%	7.79%
3Y (ann.)	12.84%	7.69%
5Y (ann.)	8.84%	7.01%
10Y (ann.)	8.84%	7.01%
All-time (ann.)	8.84%	7.01%
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	23.41%	9.51%
Worst Year	2.57%	4.01%
Avg. Drawdown	-1.11%	-0.83%
Avg. Drawdown Days	14	138
Recovery Factor	1.59	29.12
Ulcer Index	0.04	0.0
Serenity Index	2.33	4.32
Avg. Up Month	1.56%	0.58%
Avg. Down Month	-	-
Win Days	54.95%	92.51%
Win Month	72.73%	92.73%
Win Quarter	70.0%	95.0%
Win Year	100.0%	100.0%
Beta	-1.29	-
Alpha	0.19	-
Correlation	-2.24%	-
Treynor Ratio	-36.87%	-