BCSG[Strategy] vs RUB Inflation[Benchmark]

22 May, 2025 - 19 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	22.34%	6.36%
CAGR﹪	22.55%	6.42%
Sharpe	0.88	16.25
Prob. Sharpe Ratio	79.58%	100.0%
Smart Sharpe	0.77	14.32
Sortino	1.16	70.84
Smart Sortino	1.02	62.43
Sortino/√2	0.82	50.09
Smart Sortino/√2	0.72	44.14
Omega	1.18	1.18
Max Drawdown	-22.81%	-0.4%
Longest DD Days	77	63
Volatility (ann.)	27.64%	0.38%
R^2	0.01	0.01
Information Ratio	0.04	0.04
Calmar	0.99	16.04
Skew	-1.85	1.23
Kurtosis	12.39	3.0
Expected Daily	0.08%	0.02%
Expected Monthly	1.56%	0.48%
Expected Yearly	10.61%	3.13%
Kelly Criterion	29.95%	86.11%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.77%	-0.01%
Expected Shortfall (cVaR)	-2.77%	-0.01%
Max Consecutive Wins	7	179
Max Consecutive Losses	4	21
Gain/Pain Ratio	0.18	15.4
Gain/Pain (1M)	0.99	15.4
Payoff Ratio	2.11	1.55
Profit Factor	1.18	16.4
Common Sense Ratio	1.44	81.26
CPC Index	1.3	23.2
Tail Ratio	1.22	4.96
Outlier Win Ratio	1.66	68.24
Outlier Loss Ratio	2.3	141.88
MTD	-6.38%	0.33%
3M	-15.96%	1.77%
6M	-2.69%	4.44%
YTD	-6.38%	3.93%
1Y	22.34%	6.36%
3Y (ann.)	22.55%	6.42%
5Y (ann.)	22.55%	6.42%
10Y (ann.)	22.55%	6.42%
All-time (ann.)	22.55%	6.42%
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%	3.93%
Worst Year	-6.38%	2.34%
Avg. Drawdown	-3.63%	-0.4%
Avg. Drawdown Days	16	63
Recovery Factor	0.98	15.91
Ulcer Index	0.07	0.0
Serenity Index	0.39	8.02
Avg. Up Month	6.41%	0.59%
Avg. Down Month	-	-
Win Days	52.48%	91.57%
Win Month	61.54%	92.31%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	6.18	-
Alpha	-0.14	-
Correlation	8.55%	-
Treynor Ratio	3.62%	-