BCSG[Strategy] vs RUB Inflation[Benchmark]

22 May, 2025 - 28 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	24.13%	2.03%
CAGR﹪	51.48%	3.93%
Sharpe	2.17	13.27
Prob. Sharpe Ratio	94.15%	100.0%
Smart Sharpe	2.02	12.37
Sortino	3.38	31.25
Smart Sortino	3.15	29.12
Sortino/√2	2.39	22.09
Smart Sortino/√2	2.23	20.59
Omega	1.44	1.44
Max Drawdown	-10.55%	-0.4%
Longest DD Days	43	63
Volatility (ann.)	19.36%	0.28%
R^2	0.0	0.0
Information Ratio	0.12	0.12
Calmar	4.88	9.83
Skew	-0.17	-0.24
Kurtosis	1.06	1.4
Expected Daily	0.16%	0.01%
Expected Monthly	3.14%	0.29%
Expected Yearly	24.13%	2.03%
Kelly Criterion	28.45%	70.46%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.84%	-0.01%
Expected Shortfall (cVaR)	-1.84%	-0.01%
Max Consecutive Wins	7	65
Max Consecutive Losses	4	21
Gain/Pain Ratio	0.44	5.01
Gain/Pain (1M)	16.52	5.01
Payoff Ratio	1.82	1.11
Profit Factor	1.44	6.01
Common Sense Ratio	1.74	7.78
CPC Index	1.41	5.65
Tail Ratio	1.21	1.3
Outlier Win Ratio	1.45	67.84
Outlier Loss Ratio	1.68	75.78
MTD	0.4%	0.43%
3M	18.71%	1.24%
6M	24.13%	1.84%
YTD	24.13%	2.03%
1Y	24.13%	2.03%
3Y (ann.)	51.48%	3.93%
5Y (ann.)	51.48%	3.93%
10Y (ann.)	51.48%	3.93%
All-time (ann.)	51.48%	3.93%
Best Day	3.79%	0.06%
Worst Day	-4.16%	-0.02%
Best Month	12.82%	0.57%
Worst Month	-1.48%	-0.4%
Best Year	24.13%	2.03%
Worst Year	24.13%	2.03%
Avg. Drawdown	-2.37%	-0.4%
Avg. Drawdown Days	11	63
Recovery Factor	2.29	5.07
Ulcer Index	0.04	0.0
Serenity Index	1.22	1.0
Avg. Up Month	3.83%	0.44%
Avg. Down Month	-	-
Win Days	53.85%	84.44%
Win Month	85.71%	85.71%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	-1.88	-
Alpha	0.49	-
Correlation	-2.72%	-
Treynor Ratio	-12.85%	-