BCSG[Strategy] vs INav[Benchmark]

4 Jun, 2025 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	17.68%	17.04%
CAGR﹪	17.63%	16.99%
Sharpe	0.48	0.47
Prob. Sharpe Ratio	35.39%	35.03%
Smart Sharpe	0.42	0.41
Sortino	0.62	0.64
Smart Sortino	0.55	0.56
Sortino/√2	0.44	0.45
Smart Sortino/√2	0.39	0.4
Omega	1.09	1.09
Max Drawdown	-24.5%	-24.5%
Longest DD Days	94	94
Volatility (ann.)	27.88%	26.6%
R^2	0.89	0.89
Information Ratio	0.01	0.01
Calmar	0.72	0.69
Skew	-1.77	-0.77
Kurtosis	11.61	5.71
Expected Daily	0.06%	0.06%
Expected Monthly	1.26%	1.22%
Expected Yearly	8.48%	8.18%
Kelly Criterion	5.71%	5.29%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.81%	-2.68%
Expected Shortfall (cVaR)	-2.81%	-2.68%
Max Consecutive Wins	7	9
Max Consecutive Losses	4	8
Gain/Pain Ratio	0.14	0.14
Gain/Pain (1M)	0.74	0.71
Payoff Ratio	1.04	1.05
Profit Factor	1.14	1.14
Common Sense Ratio	1.31	1.12
CPC Index	0.62	0.62
Tail Ratio	1.15	0.98
Outlier Win Ratio	3.13	3.1
Outlier Loss Ratio	3.97	4.17
MTD	-0.98%	-1.54%
3M	-20.81%	-20.32%
6M	-1.3%	-1.45%
YTD	-7.45%	-7.69%
1Y	17.68%	17.04%
3Y (ann.)	17.63%	16.99%
5Y (ann.)	17.63%	16.99%
10Y (ann.)	17.63%	16.99%
All-time (ann.)	17.63%	16.99%
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	-7.45%	-7.69%
Avg. Drawdown	-4.12%	-3.95%
Avg. Drawdown Days	18	20
Recovery Factor	0.72	0.7
Ulcer Index	0.09	0.09
Serenity Index	0.13	0.12
Avg. Up Month	7.06%	6.43%
Avg. Down Month	-5.41%	-5.52%
Win Days	51.82%	51.38%
Win Month	53.85%	61.54%
Win Quarter	60.0%	60.0%
Win Year	50.0%	50.0%
Beta	0.99	-
Alpha	0.01	-
Correlation	94.42%	-
Treynor Ratio	10.79%	-