BCSG[Strategy] vs INav[Benchmark]

4 Jun, 2025 - 17 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	35.75%	35.63%
CAGR﹪	42.18%	42.04%
Sharpe	1.14	1.18
Prob. Sharpe Ratio	58.97%	61.44%
Smart Sharpe	0.98	1.01
Sortino	1.5	1.67
Smart Sortino	1.29	1.43
Sortino/√2	1.06	1.18
Smart Sortino/√2	0.91	1.01
Omega	1.24	1.24
Max Drawdown	-15.48%	-14.12%
Longest DD Days	76	76
Volatility (ann.)	28.44%	26.83%
R^2	0.88	0.88
Information Ratio	0.0	0.0
Calmar	2.73	2.98
Skew	-1.97	-0.88
Kurtosis	12.78	6.62
Expected Daily	0.14%	0.14%
Expected Monthly	2.82%	2.81%
Expected Yearly	16.51%	16.46%
Kelly Criterion	11.9%	10.85%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.79%	-2.63%
Expected Shortfall (cVaR)	-2.79%	-2.63%
Max Consecutive Wins	7	9
Max Consecutive Losses	4	5
Gain/Pain Ratio	0.3	0.3
Gain/Pain (1M)	2.51	2.6
Payoff Ratio	1.07	1.09
Profit Factor	1.3	1.3
Common Sense Ratio	1.6	1.44
CPC Index	0.76	0.76
Tail Ratio	1.23	1.11
Outlier Win Ratio	3.18	3.13
Outlier Loss Ratio	4.32	4.69
MTD	-1.26%	-0.69%
3M	2.78%	3.13%
6M	6.76%	7.19%
YTD	6.76%	6.98%
1Y	35.75%	35.63%
3Y (ann.)	42.18%	42.04%
5Y (ann.)	42.18%	42.04%
10Y (ann.)	42.18%	42.04%
All-time (ann.)	42.18%	42.04%
Best Day	4.84%	6.58%
Worst Day	-12.74%	-9.86%
Best Month	20.44%	16.02%
Worst Month	-8.25%	-8.58%
Best Year	27.15%	26.78%
Worst Year	6.76%	6.98%
Avg. Drawdown	-3.59%	-3.3%
Avg. Drawdown Days	16	17
Recovery Factor	2.31	2.52
Ulcer Index	0.06	0.05
Serenity Index	0.9	1.0
Avg. Up Month	7.06%	6.43%
Avg. Down Month	-4.43%	-4.45%
Win Days	54.46%	53.42%
Win Month	63.64%	72.73%
Win Quarter	60.0%	60.0%
Win Year	100.0%	100.0%
Beta	1.0	-
Alpha	0.01	-
Correlation	94.06%	-
Treynor Ratio	28.83%	-