BCSG[Strategy] vs INav[Benchmark]

4 Jun, 2025 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	99.0%
Cumulative Return	22.71%	21.69%
CAGR﹪	76.85%	72.79%
Sharpe	3.01	3.11
Prob. Sharpe Ratio	92.13%	93.63%
Smart Sharpe	2.65	2.74
Sortino	5.14	5.5
Smart Sortino	4.53	4.85
Sortino/√2	3.64	3.89
Smart Sortino/√2	3.2	3.43
Omega	1.6	1.6
Max Drawdown	-4.61%	-4.36%
Longest DD Days	43	54
Volatility (ann.)	16.65%	15.33%
R^2	0.85	0.85
Information Ratio	0.02	0.02
Calmar	16.68	16.71
Skew	0.06	0.23
Kurtosis	-0.43	-0.25
Expected Daily	0.22%	0.21%
Expected Monthly	4.18%	4.0%
Expected Yearly	22.71%	21.69%
Kelly Criterion	21.17%	25.88%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.5%	-1.37%
Expected Shortfall (cVaR)	-1.5%	-1.37%
Max Consecutive Wins	7	9
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.71	0.76
Gain/Pain (1M)	5.62	4.91
Payoff Ratio	1.45	1.42
Profit Factor	1.71	1.76
Common Sense Ratio	2.18	2.45
CPC Index	1.33	1.41
Tail Ratio	1.27	1.39
Outlier Win Ratio	2.47	2.78
Outlier Loss Ratio	2.68	2.85
MTD	5.31%	4.59%
3M	24.63%	23.97%
6M	22.71%	21.69%
YTD	22.71%	21.69%
1Y	22.71%	21.69%
3Y (ann.)	76.85%	72.79%
5Y (ann.)	76.85%	72.79%
10Y (ann.)	76.85%	72.79%
All-time (ann.)	76.85%	72.79%
Best Day	2.67%	2.68%
Worst Day	-2.0%	-1.98%
Best Month	12.82%	13.06%
Worst Month	-3.77%	-4.08%
Best Year	22.71%	21.69%
Worst Year	22.71%	21.69%
Avg. Drawdown	-2.14%	-1.64%
Avg. Drawdown Days	11	13
Recovery Factor	4.93	4.98
Ulcer Index	0.02	0.02
Serenity Index	2.31	2.56
Avg. Up Month	6.33%	6.2%
Avg. Down Month	-3.77%	-4.08%
Win Days	53.33%	56.52%
Win Month	80.0%	80.0%
Win Quarter	66.67%	66.67%
Win Year	100.0%	100.0%
Beta	1.0	-
Alpha	0.03	-
Correlation	91.95%	-
Treynor Ratio	15.72%	-