BCSR[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2024 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	100.0%
Cumulative Return	12.59%	6.34%
CAGR﹪	24.71%	12.13%
Sharpe	0.88	23.42
Prob. Sharpe Ratio	74.85%	-
Smart Sharpe	0.83	22.2
Sortino	1.39	-
Smart Sortino	1.32	-
Sortino/√2	0.99	-
Smart Sortino/√2	0.93	-
Omega	1.17	1.17
Max Drawdown	-18.69%	-
Longest DD Days	-	-
Volatility (ann.)	28.56%	0.47%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	1.32	-
Skew	0.75	1.6
Kurtosis	2.87	2.6
Expected Daily	0.08%	0.04%
Expected Monthly	1.71%	0.88%
Expected Yearly	6.11%	3.12%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.86%	-0.0%
Expected Shortfall (cVaR)	-2.86%	-0.0%
Max Consecutive Wins	6	141
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	1.13	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.29	-
CPC Index	-	-
Tail Ratio	1.11	7.12
Outlier Win Ratio	2.13	59.76
Outlier Loss Ratio	1.29	-
MTD	-3.18%	0.47%
3M	-10.13%	1.57%
6M	14.42%	4.98%
YTD	-0.0%	3.61%
1Y	12.59%	6.34%
3Y (ann.)	24.71%	12.13%
5Y (ann.)	24.71%	12.13%
10Y (ann.)	24.71%	12.13%
All-time (ann.)	24.71%	12.13%
Best Day	8.43%	0.13%
Worst Day	-4.2%	0.0%
Best Month	14.42%	1.32%
Worst Month	-6.46%	0.4%
Best Year	12.59%	3.61%
Worst Year	-0.0%	2.64%
Avg. Drawdown	-4.81%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.67	-
Ulcer Index	0.09	0.0
Serenity Index	0.17	-
Avg. Up Month	8.92%	1.12%
Avg. Down Month	-	-
Win Days	52.76%	100.0%
Win Month	42.86%	100.0%
Win Quarter	66.67%	100.0%
Win Year	50.0%	100.0%
Beta	2.6	-
Alpha	-0.03	-
Correlation	4.24%	-
Treynor Ratio	4.84%	-