BCSG[Strategy] vs RUB Inflation[Benchmark]

22 May, 2025 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	97.0%
Cumulative Return	-1.09%	1.98%
CAGR﹪	-8.18%	16.45%
Sharpe	-0.47	88.43
Prob. Sharpe Ratio	43.37%	96.99%
Smart Sharpe	-0.46	85.67
Sortino	-0.7	-
Smart Sortino	-0.68	-
Sortino/√2	-0.49	-
Smart Sortino/√2	-0.48	-
Omega	0.92	0.92
Max Drawdown	-4.61%	-
Longest DD Days	-	-
Volatility (ann.)	15.37%	0.17%
R^2	0.0	0.0
Information Ratio	-0.09	-0.09
Calmar	-1.77	-
Skew	0.37	-5.74
Kurtosis	0.37	33.0
Expected Daily	-0.03%	0.06%
Expected Monthly	-0.37%	0.66%
Expected Yearly	-1.09%	1.98%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.62%	-0.04%
Expected Shortfall (cVaR)	-1.62%	-0.04%
Max Consecutive Wins	3	32
Max Consecutive Losses	4	0
Gain/Pain Ratio	-0.08	-
Gain/Pain (1M)	-0.69	-
Payoff Ratio	-	-
Profit Factor	0.92	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	1.15	1.0
Outlier Win Ratio	1.48	18.69
Outlier Loss Ratio	1.34	-
MTD	-0.0%	0.37%
3M	-1.09%	1.98%
6M	-1.09%	1.98%
YTD	-1.09%	1.98%
1Y	-1.09%	1.98%
3Y (ann.)	-8.18%	16.45%
5Y (ann.)	-8.18%	16.45%
10Y (ann.)	-8.18%	16.45%
All-time (ann.)	-8.18%	16.45%
Best Day	2.29%	0.06%
Worst Day	-1.97%	0.0%
Best Month	0.4%	1.23%
Worst Month	-1.48%	0.37%
Best Year	-1.09%	1.98%
Worst Year	-1.09%	1.98%
Avg. Drawdown	-2.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.24	-
Ulcer Index	0.02	0.0
Serenity Index	-0.11	-
Avg. Up Month	0.4%	0.37%
Avg. Down Month	-	-
Win Days	41.94%	100.0%
Win Month	33.33%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.48	-
Alpha	0.0	-
Correlation	-0.53%	-
Treynor Ratio	2.26%	-