BCSG[Strategy] vs INav[Benchmark]

4 Jun, 2025 - 27 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	49.86%	49.4%
CAGR﹪	73.48%	72.76%
Sharpe	1.96	2.03
Prob. Sharpe Ratio	78.55%	82.56%
Smart Sharpe	1.67	1.73
Sortino	2.68	3.03
Smart Sortino	2.28	2.58
Sortino/√2	1.9	2.14
Smart Sortino/√2	1.61	1.82
Omega	1.46	1.46
Max Drawdown	-12.74%	-10.49%
Longest DD Days	76	76
Volatility (ann.)	26.56%	25.2%
R^2	0.87	0.87
Information Ratio	0.01	0.01
Calmar	5.77	6.93
Skew	-2.35	-0.89
Kurtosis	19.14	9.38
Expected Daily	0.22%	0.22%
Expected Monthly	4.6%	4.56%
Expected Yearly	22.42%	22.23%
Kelly Criterion	18.44%	18.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.52%	-2.38%
Expected Shortfall (cVaR)	-2.52%	-2.38%
Max Consecutive Wins	7	9
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.53	0.54
Gain/Pain (1M)	9.27	10.4
Payoff Ratio	1.21	1.21
Profit Factor	1.53	1.54
Common Sense Ratio	2.15	2.3
CPC Index	1.03	1.03
Tail Ratio	1.41	1.5
Outlier Win Ratio	3.31	3.32
Outlier Loss Ratio	3.17	3.32
MTD	-2.15%	1.57%
3M	24.18%	23.81%
6M	47.71%	47.41%
YTD	17.86%	17.84%
1Y	49.86%	49.4%
3Y (ann.)	73.48%	72.76%
5Y (ann.)	73.48%	72.76%
10Y (ann.)	73.48%	72.76%
All-time (ann.)	73.48%	72.76%
Best Day	4.84%	6.58%
Worst Day	-12.74%	-9.86%
Best Month	20.44%	16.02%
Worst Month	-3.77%	-4.08%
Best Year	27.15%	26.78%
Worst Year	17.86%	17.84%
Avg. Drawdown	-2.85%	-2.58%
Avg. Drawdown Days	14	15
Recovery Factor	3.91	4.71
Ulcer Index	0.04	0.04
Serenity Index	2.14	2.74
Avg. Up Month	7.06%	6.43%
Avg. Down Month	-3.77%	-4.08%
Win Days	55.31%	55.43%
Win Month	77.78%	88.89%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.98	-
Alpha	0.02	-
Correlation	93.28%	-
Treynor Ratio	43.59%	-