BCSG[Strategy] vs INav[Benchmark]

4 Jun, 2025 - 27 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	19.81%	19.92%
CAGR﹪	45.47%	45.74%
Sharpe	1.58	1.68
Prob. Sharpe Ratio	71.29%	74.28%
Smart Sharpe	1.45	1.55
Sortino	2.39	2.56
Smart Sortino	2.21	2.37
Sortino/√2	1.69	1.81
Smart Sortino/√2	1.56	1.67
Omega	1.3	1.3
Max Drawdown	-10.55%	-9.88%
Longest DD Days	43	54
Volatility (ann.)	19.9%	18.64%
R^2	0.88	0.88
Information Ratio	0.0	0.0
Calmar	4.31	4.63
Skew	-0.15	-0.1
Kurtosis	0.89	0.78
Expected Daily	0.14%	0.14%
Expected Monthly	3.06%	3.07%
Expected Yearly	19.81%	19.92%
Kelly Criterion	13.05%	17.31%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.91%	-1.78%
Expected Shortfall (cVaR)	-1.91%	-1.78%
Max Consecutive Wins	7	9
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.37	0.41
Gain/Pain (1M)	4.72	4.66
Payoff Ratio	1.18	1.14
Profit Factor	1.37	1.41
Common Sense Ratio	1.65	1.6
CPC Index	0.86	0.9
Tail Ratio	1.2	1.14
Outlier Win Ratio	2.79	3.05
Outlier Loss Ratio	3.29	3.46
MTD	-0.4%	0.05%
3M	18.1%	18.32%
6M	19.81%	19.92%
YTD	19.81%	19.92%
1Y	19.81%	19.92%
3Y (ann.)	45.47%	45.74%
5Y (ann.)	45.47%	45.74%
10Y (ann.)	45.47%	45.74%
All-time (ann.)	45.47%	45.74%
Best Day	3.79%	3.41%
Worst Day	-4.16%	-3.07%
Best Month	12.82%	13.06%
Worst Month	-3.77%	-4.08%
Best Year	19.81%	19.92%
Worst Year	19.81%	19.92%
Avg. Drawdown	-2.76%	-2.55%
Avg. Drawdown Days	13	16
Recovery Factor	1.88	2.02
Ulcer Index	0.04	0.03
Serenity Index	0.64	0.68
Avg. Up Month	5.82%	5.81%
Avg. Down Month	-3.77%	-4.08%
Win Days	52.89%	56.0%
Win Month	66.67%	83.33%
Win Quarter	66.67%	66.67%
Win Year	100.0%	100.0%
Beta	1.0	-
Alpha	0.0	-
Correlation	93.75%	-
Treynor Ratio	12.79%	-