BCSB[Strategy] vs RUB Inflation[Benchmark]

15 Mar, 2021 - 17 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	49.57%	37.9%
CAGR﹪	8.82%	6.98%
Sharpe	0.54	20.24
Prob. Sharpe Ratio	87.25%	100.0%
Smart Sharpe	0.3	11.49
Sortino	0.77	81.88
Smart Sortino	0.44	46.49
Sortino/√2	0.55	57.9
Smart Sortino/√2	0.31	32.87
Omega	1.2	1.2
Max Drawdown	-29.99%	-1.25%
Longest DD Days	253	209
Volatility (ann.)	19.4%	0.34%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.29	5.56
Skew	0.89	0.02
Kurtosis	287.82	0.77
Expected Daily	0.03%	0.03%
Expected Monthly	0.71%	0.57%
Expected Yearly	8.38%	6.64%
Kelly Criterion	-13.06%	88.19%
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	9	65
Gain/Pain Ratio	0.2	19.33
Gain/Pain (1M)	2.43	19.33
Payoff Ratio	0.68	1.57
Profit Factor	1.2	20.33
Common Sense Ratio	1.4	66.79
CPC Index	0.44	29.67
Tail Ratio	1.17	3.29
Outlier Win Ratio	2.34	33.93
Outlier Loss Ratio	2.16	54.6
MTD	-1.96%	0.27%
3M	0.6%	1.35%
6M	9.36%	1.81%
YTD	25.08%	5.55%
1Y	34.78%	6.25%
3Y (ann.)	11.58%	7.55%
5Y (ann.)	8.82%	6.98%
10Y (ann.)	8.82%	6.98%
All-time (ann.)	8.82%	6.98%
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	25.08%	9.51%
Worst Year	2.57%	4.01%
Avg. Drawdown	-1.08%	-0.83%
Avg. Drawdown Days	13	136
Recovery Factor	1.65	30.21
Ulcer Index	0.04	0.0
Serenity Index	2.47	4.58
Avg. Up Month	1.56%	0.58%
Avg. Down Month	-	-
Win Days	54.28%	92.78%
Win Month	73.68%	92.98%
Win Quarter	75.0%	95.0%
Win Year	100.0%	100.0%
Beta	-1.3	-
Alpha	0.19	-
Correlation	-2.24%	-
Treynor Ratio	-38.26%	-