BCSB[Strategy] vs RUB Inflation[Benchmark]

15 Mar, 2021 - 31 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	59.2%	42.49%
CAGR﹪	9.65%	7.27%
Sharpe	0.59	20.14
Prob. Sharpe Ratio	89.79%	100.0%
Smart Sharpe	0.33	11.47
Sortino	0.85	87.81
Smart Sortino	0.48	50.02
Sortino/√2	0.6	62.09
Smart Sortino/√2	0.34	35.37
Omega	1.22	1.22
Max Drawdown	-29.99%	-1.25%
Longest DD Days	253	209
Volatility (ann.)	18.95%	0.35%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.32	5.79
Skew	0.9	0.24
Kurtosis	300.01	1.05
Expected Daily	0.04%	0.03%
Expected Monthly	0.78%	0.59%
Expected Yearly	8.06%	6.08%
Kelly Criterion	-13.28%	88.98%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.92%	-0.01%
Expected Shortfall (cVaR)	-1.92%	-0.01%
Max Consecutive Wins	9	748
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.22	21.29
Gain/Pain (1M)	2.89	21.29
Payoff Ratio	0.67	1.64
Profit Factor	1.22	22.29
Common Sense Ratio	1.41	77.45
CPC Index	0.44	34.01
Tail Ratio	1.16	3.47
Outlier Win Ratio	2.29	31.45
Outlier Loss Ratio	2.16	53.76
MTD	3.45%	0.89%
3M	5.41%	3.28%
6M	8.16%	4.58%
YTD	5.41%	3.28%
1Y	26.63%	6.21%
3Y (ann.)	12.2%	8.16%
5Y (ann.)	9.78%	7.21%
10Y (ann.)	9.65%	7.27%
All-time (ann.)	9.65%	7.27%
Best Day	25.56%	0.09%
Worst Day	-24.07%	-0.02%
Best Month	6.35%	1.62%
Worst Month	-9.42%	-0.52%
Best Year	26.31%	9.51%
Worst Year	2.57%	3.28%
Avg. Drawdown	-1.05%	-0.83%
Avg. Drawdown Days	13	136
Recovery Factor	1.97	33.86
Ulcer Index	0.03	0.0
Serenity Index	3.01	5.69
Avg. Up Month	1.57%	0.61%
Avg. Down Month	-	-
Win Days	54.72%	93.16%
Win Month	75.0%	93.33%
Win Quarter	76.19%	95.24%
Win Year	100.0%	100.0%
Beta	-1.09	-
Alpha	0.19	-
Correlation	-2.03%	-
Treynor Ratio	-54.16%	-