BCSR[Strategy] vs RUB Inflation[Benchmark]

15 Nov, 2024 - 3 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	99.0%
Cumulative Return	13.19%	5.76%
CAGR﹪	38.44%	15.84%
Sharpe	1.24	34.45
Prob. Sharpe Ratio	78.69%	-
Smart Sharpe	1.17	32.7
Sortino	2.09	-
Smart Sortino	1.98	-
Sortino/√2	1.48	-
Smart Sortino/√2	1.4	-
Omega	1.25	1.25
Max Drawdown	-13.58%	-
Longest DD Days	-	-
Volatility (ann.)	29.47%	0.42%
R^2	0.0	0.0
Information Ratio	0.05	0.05
Calmar	2.83	-
Skew	1.08	1.82
Kurtosis	3.57	2.99
Expected Daily	0.13%	0.06%
Expected Monthly	2.09%	0.94%
Expected Yearly	6.39%	2.84%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.91%	-0.01%
Expected Shortfall (cVaR)	-2.91%	-0.01%
Max Consecutive Wins	6	96
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.25	-
Gain/Pain (1M)	1.12	-
Payoff Ratio	-	-
Profit Factor	1.25	-
Common Sense Ratio	1.4	-
CPC Index	-	-
Tail Ratio	1.13	3.2
Outlier Win Ratio	2.31	50.84
Outlier Loss Ratio	1.03	-
MTD	-4.55%	0.12%
3M	0.53%	3.04%
6M	13.19%	5.76%
YTD	0.53%	3.04%
1Y	13.19%	5.76%
3Y (ann.)	38.44%	15.84%
5Y (ann.)	38.44%	15.84%
10Y (ann.)	38.44%	15.84%
All-time (ann.)	38.44%	15.84%
Best Day	8.43%	0.13%
Worst Day	-3.12%	0.0%
Best Month	14.42%	1.32%
Worst Month	-6.46%	0.12%
Best Year	12.59%	3.04%
Worst Year	0.53%	2.64%
Avg. Drawdown	-4.17%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.97	-
Ulcer Index	0.04	0.0
Serenity Index	0.84	-
Avg. Up Month	8.92%	1.12%
Avg. Down Month	-	-
Win Days	53.93%	100.0%
Win Month	50.0%	100.0%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	-0.69	-
Alpha	0.46	-
Correlation	-0.99%	-
Treynor Ratio	-19.18%	-