BCSG[Strategy] vs RUB Inflation[Benchmark]

22 May, 2025 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	46.77%	7.71%
CAGR﹪	35.32%	6.03%
Sharpe	1.2	16.29
Prob. Sharpe Ratio	90.16%	100.0%
Smart Sharpe	1.04	14.11
Sortino	1.67	75.15
Smart Sortino	1.45	65.08
Sortino/√2	1.18	53.14
Smart Sortino/√2	1.03	46.02
Omega	1.24	1.24
Max Drawdown	-30.39%	-0.4%
Longest DD Days	178	63
Volatility (ann.)	28.52%	0.36%
R^2	0.01	0.01
Information Ratio	0.06	0.06
Calmar	1.16	15.08
Skew	-1.14	1.36
Kurtosis	8.81	3.57
Expected Daily	0.12%	0.02%
Expected Monthly	2.43%	0.47%
Expected Yearly	21.15%	3.78%
Kelly Criterion	32.7%	88.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.82%	-0.01%
Expected Shortfall (cVaR)	-2.82%	-0.01%
Max Consecutive Wins	7	251
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.24	18.54
Gain/Pain (1M)	1.71	18.54
Payoff Ratio	2.28	1.41
Profit Factor	1.24	19.54
Common Sense Ratio	1.39	95.12
CPC Index	1.5	25.67
Tail Ratio	1.12	4.87
Outlier Win Ratio	1.57	76.81
Outlier Loss Ratio	1.91	125.84
MTD	21.55%	0.47%
3M	22.66%	1.91%
6M	-4.71%	2.82%
YTD	12.31%	5.25%
1Y	40.36%	6.88%
3Y (ann.)	35.32%	6.03%
5Y (ann.)	35.32%	6.03%
10Y (ann.)	35.32%	6.03%
All-time (ann.)	35.32%	6.03%
Best Day	6.66%	0.09%
Worst Day	-12.74%	-0.02%
Best Month	21.55%	1.62%
Worst Month	-8.25%	-0.4%
Best Year	30.69%	5.25%
Worst Year	12.31%	2.34%
Avg. Drawdown	-4.03%	-0.4%
Avg. Drawdown Days	21	63
Recovery Factor	1.54	19.28
Ulcer Index	0.12	0.0
Serenity Index	0.29	11.78
Avg. Up Month	7.46%	0.57%
Avg. Down Month	-	-
Win Days	53.23%	93.46%
Win Month	62.5%	93.75%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	7.39	-
Alpha	-0.09	-
Correlation	9.24%	-
Treynor Ratio	6.33%	-