SUGB RUB[Strategy] vs AKBC RUB[Benchmark]

7 Apr, 2025 - 10 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	81.0%	85.0%
Cumulative Return	1.89%	5.26%
CAGR﹪	22.97%	76.25%
Sharpe	1.74	1.73
Prob. Sharpe Ratio	69.65%	60.91%
Smart Sharpe	1.47	1.46
Sortino	2.72	2.83
Smart Sortino	2.3	2.39
Sortino/√2	1.92	2.0
Smart Sortino/√2	1.62	1.69
Omega	1.36	1.36
Max Drawdown	-1.05%	-8.13%
Longest DD Days	12	12
Volatility (ann.)	6.64%	26.76%
R^2	0.04	0.04
Information Ratio	-0.08	-0.08
Calmar	21.94	9.38
Skew	-0.14	0.03
Kurtosis	0.41	-0.72
Expected Daily	0.07%	0.2%
Expected Monthly	0.94%	2.6%
Expected Yearly	1.89%	5.26%
Kelly Criterion	19.03%	1.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.62%	-2.56%
Expected Shortfall (cVaR)	-0.62%	-2.56%
Max Consecutive Wins	3	3
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.65	0.39
Gain/Pain (1M)	-	2.85
Payoff Ratio	1.12	1.25
Profit Factor	1.65	1.39
Common Sense Ratio	1.92	1.63
CPC Index	1.06	0.79
Tail Ratio	1.16	1.18
Outlier Win Ratio	6.86	1.38
Outlier Loss Ratio	5.79	1.58
MTD	0.53%	-2.02%
3M	1.89%	5.26%
6M	1.89%	5.26%
YTD	1.89%	5.26%
1Y	1.89%	5.26%
3Y (ann.)	22.97%	76.25%
5Y (ann.)	22.97%	76.25%
10Y (ann.)	22.97%	76.25%
All-time (ann.)	22.97%	76.25%
Best Day	0.86%	3.11%
Worst Day	-0.85%	-3.13%
Best Month	1.35%	7.43%
Worst Month	0.53%	-2.02%
Best Year	1.89%	5.26%
Worst Year	1.89%	5.26%
Avg. Drawdown	-0.73%	-2.27%
Avg. Drawdown Days	4	3
Recovery Factor	1.8	0.65
Ulcer Index	0.01	0.03
Serenity Index	-4.18	-0.13
Avg. Up Month	1.35%	7.43%
Avg. Down Month	-	-
Win Days	57.14%	45.45%
Win Month	100.0%	50.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.05	-
Alpha	0.16	-
Correlation	21.19%	-
Treynor Ratio	-97.18%	-