SUGB RUB[Strategy] vs AKHT RUB[Benchmark]

14 Nov, 2024 - 10 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	96.0%
Cumulative Return	13.79%	-4.2%
CAGR﹪	30.52%	-8.47%
Sharpe	1.82	-0.4
Prob. Sharpe Ratio	83.64%	18.95%
Smart Sharpe	1.56	-0.34
Sortino	3.22	-0.59
Smart Sortino	2.76	-0.5
Sortino/√2	2.28	-0.42
Smart Sortino/√2	1.95	-0.36
Omega	1.37	1.37
Max Drawdown	-3.18%	-19.02%
Longest DD Days	52	73
Volatility (ann.)	11.3%	28.94%
R^2	0.16	0.16
Information Ratio	0.08	0.08
Calmar	9.61	-0.45
Skew	1.03	0.93
Kurtosis	3.11	4.68
Expected Daily	0.11%	-0.04%
Expected Monthly	1.86%	-0.61%
Expected Yearly	6.67%	-2.12%
Kelly Criterion	26.61%	-2.73%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.06%	-3.02%
Expected Shortfall (cVaR)	-1.06%	-3.02%
Max Consecutive Wins	6	8
Max Consecutive Losses	4	5
Gain/Pain Ratio	0.53	-0.03
Gain/Pain (1M)	22.76	-0.11
Payoff Ratio	1.64	0.87
Profit Factor	1.53	0.97
Common Sense Ratio	1.93	0.84
CPC Index	1.36	0.44
Tail Ratio	1.27	0.87
Outlier Win Ratio	5.72	2.58
Outlier Loss Ratio	4.98	1.63
MTD	0.53%	-2.35%
3M	5.08%	-7.52%
6M	13.79%	-4.2%
YTD	6.56%	-4.94%
1Y	13.79%	-4.2%
3Y (ann.)	30.52%	-8.47%
5Y (ann.)	30.52%	-8.47%
10Y (ann.)	30.52%	-8.47%
All-time (ann.)	30.52%	-8.47%
Best Day	3.13%	9.3%
Worst Day	-1.51%	-4.08%
Best Month	7.42%	10.61%
Worst Month	-0.6%	-8.89%
Best Year	6.78%	0.78%
Worst Year	6.56%	-4.94%
Avg. Drawdown	-1.06%	-5.92%
Avg. Drawdown Days	10	22
Recovery Factor	4.34	-0.22
Ulcer Index	0.01	0.09
Serenity Index	1.81	-0.13
Avg. Up Month	3.76%	6.28%
Avg. Down Month	-0.6%	-8.89%
Win Days	54.39%	52.14%
Win Month	85.71%	42.86%
Win Quarter	100.0%	66.67%
Win Year	100.0%	50.0%
Beta	0.15	-
Alpha	0.28	-
Correlation	39.51%	-
Treynor Ratio	44.0%	-