BCSB[Strategy] vs RUB Inflation[Benchmark]

15 Mar, 2021 - 15 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	49.07%	35.53%
CAGR﹪	9.26%	6.98%
Sharpe	0.55	19.37
Prob. Sharpe Ratio	87.14%	100.0%
Smart Sharpe	0.31	10.97
Sortino	0.79	75.23
Smart Sortino	0.45	42.6
Sortino/√2	0.56	53.19
Smart Sortino/√2	0.32	30.12
Omega	1.2	1.2
Max Drawdown	-29.99%	-1.25%
Longest DD Days	253	209
Volatility (ann.)	19.9%	0.35%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.31	5.56
Skew	0.87	-0.08
Kurtosis	275.82	0.5
Expected Daily	0.04%	0.03%
Expected Monthly	0.74%	0.56%
Expected Yearly	8.31%	6.27%
Kelly Criterion	-5.33%	86.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.02%	-0.01%
Expected Shortfall (cVaR)	-2.02%	-0.01%
Max Consecutive Wins	9	748
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.2	16.23
Gain/Pain (1M)	2.68	16.23
Payoff Ratio	0.74	1.61
Profit Factor	1.2	17.23
Common Sense Ratio	1.44	56.63
CPC Index	0.49	25.34
Tail Ratio	1.2	3.29
Outlier Win Ratio	2.37	33.37
Outlier Loss Ratio	2.17	56.62
MTD	0.6%	-0.21%
3M	8.64%	0.07%
6M	16.9%	1.33%
YTD	24.67%	3.73%
1Y	26.49%	7.67%
3Y (ann.)	13.41%	7.52%
5Y (ann.)	9.26%	6.98%
10Y (ann.)	9.26%	6.98%
All-time (ann.)	9.26%	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	24.67%	9.51%
Worst Year	2.57%	3.73%
Avg. Drawdown	-1.09%	-0.93%
Avg. Drawdown Days	14	127
Recovery Factor	1.64	28.31
Ulcer Index	0.04	0.0
Serenity Index	2.38	4.17
Avg. Up Month	1.56%	0.58%
Avg. Down Month	-	-
Win Days	55.16%	91.37%
Win Month	75.93%	90.74%
Win Quarter	73.68%	89.47%
Win Year	100.0%	100.0%
Beta	-1.3	-
Alpha	0.2	-
Correlation	-2.29%	-
Treynor Ratio	-37.81%	-