SUGB RUB[Strategy] vs BCSD RUB[Benchmark]

1 Aug, 2024 - 10 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	98.0%
Cumulative Return	12.45%	16.06%
CAGR﹪	16.4%	21.26%
Sharpe	0.83	15.6
Prob. Sharpe Ratio	61.97%	-
Smart Sharpe	0.65	12.14
Sortino	1.32	104.4
Smart Sortino	1.02	81.23
Sortino/√2	0.93	73.82
Smart Sortino/√2	0.72	57.44
Omega	1.16	1.16
Max Drawdown	-4.17%	-0.03%
Longest DD Days	121	1
Volatility (ann.)	10.98%	0.81%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	3.93	792.41
Skew	0.65	0.89
Kurtosis	3.01	0.17
Expected Daily	0.06%	0.08%
Expected Monthly	1.18%	1.5%
Expected Yearly	6.04%	7.73%
Kelly Criterion	-44.83%	98.07%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.07%	-0.01%
Expected Shortfall (cVaR)	-1.07%	-0.01%
Max Consecutive Wins	6	124
Max Consecutive Losses	5	1
Gain/Pain Ratio	0.29	240.67
Gain/Pain (1M)	3.85	-
Payoff Ratio	0.48	4.76
Profit Factor	1.29	241.67
Common Sense Ratio	1.45	2947.1
CPC Index	0.33	1133.1
Tail Ratio	1.12	12.19
Outlier Win Ratio	2.31	14.97
Outlier Loss Ratio	1.47	35.22
MTD	0.53%	0.55%
3M	5.08%	5.37%
6M	14.26%	10.78%
YTD	6.56%	7.6%
1Y	12.45%	16.06%
3Y (ann.)	16.4%	21.26%
5Y (ann.)	16.4%	21.26%
10Y (ann.)	16.4%	21.26%
All-time (ann.)	16.4%	21.26%
Best Day	3.13%	0.22%
Worst Day	-2.32%	-0.03%
Best Month	7.42%	1.81%
Worst Month	-2.6%	0.55%
Best Year	6.56%	7.86%
Worst Year	5.52%	7.6%
Avg. Drawdown	-1.21%	-0.02%
Avg. Drawdown Days	16	1
Recovery Factor	2.98	598.58
Ulcer Index	0.02	0.0
Serenity Index	0.73	38029.03
Avg. Up Month	1.92%	1.52%
Avg. Down Month	-	-
Win Days	53.01%	98.4%
Win Month	80.0%	100.0%
Win Quarter	75.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.09	-
Alpha	-0.05	-
Correlation	8.06%	-
Treynor Ratio	5.01%	-