BCSG[Strategy] vs RUB Inflation[Benchmark]

22 May, 2025 - 14 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	36.64%	5.67%
CAGR﹪	41.69%	6.35%
Sharpe	1.38	15.29
Prob. Sharpe Ratio	88.39%	100.0%
Smart Sharpe	1.18	13.07
Sortino	1.84	66.62
Smart Sortino	1.57	56.94
Sortino/√2	1.3	47.11
Smart Sortino/√2	1.11	40.27
Omega	1.3	1.3
Max Drawdown	-15.48%	-0.4%
Longest DD Days	76	63
Volatility (ann.)	28.1%	0.4%
R^2	0.01	0.01
Information Ratio	0.07	0.07
Calmar	2.69	15.88
Skew	-1.98	1.21
Kurtosis	13.09	2.49
Expected Daily	0.14%	0.02%
Expected Monthly	2.64%	0.46%
Expected Yearly	16.89%	2.8%
Kelly Criterion	33.17%	84.67%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.76%	-0.02%
Expected Shortfall (cVaR)	-2.76%	-0.02%
Max Consecutive Wins	7	155
Max Consecutive Losses	4	21
Gain/Pain Ratio	0.3	13.77
Gain/Pain (1M)	2.61	13.77
Payoff Ratio	2.15	1.56
Profit Factor	1.3	14.77
Common Sense Ratio	1.62	73.19
CPC Index	1.52	20.83
Tail Ratio	1.25	4.96
Outlier Win Ratio	1.66	68.12
Outlier Loss Ratio	2.41	147.39
MTD	-3.3%	0.27%
3M	-0.0%	2.77%
6M	8.35%	4.34%
YTD	4.56%	3.26%
1Y	36.64%	5.67%
3Y (ann.)	41.69%	6.35%
5Y (ann.)	41.69%	6.35%
10Y (ann.)	41.69%	6.35%
All-time (ann.)	41.69%	6.35%
Best Day	4.84%	0.09%
Worst Day	-12.74%	-0.02%
Best Month	20.44%	1.62%
Worst Month	-8.25%	-0.4%
Best Year	30.69%	3.26%
Worst Year	4.56%	2.34%
Avg. Drawdown	-3.24%	-0.4%
Avg. Drawdown Days	14	63
Recovery Factor	2.37	14.18
Ulcer Index	0.05	0.0
Serenity Index	1.25	6.77
Avg. Up Month	6.41%	0.59%
Avg. Down Month	-	-
Win Days	54.38%	90.67%
Win Month	66.67%	91.67%
Win Quarter	60.0%	100.0%
Win Year	100.0%	100.0%
Beta	6.43	-
Alpha	-0.01	-
Correlation	9.21%	-
Treynor Ratio	5.69%	-