SUGB RUB[Strategy] vs BNDC RUB[Benchmark]

29 Apr, 2025 - 10 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	60.0%	60.0%
Cumulative Return	0.4%	0.87%
CAGR﹪	14.32%	33.48%
Sharpe	0.75	4.46
Prob. Sharpe Ratio	58.54%	96.26%
Smart Sharpe	0.54	3.23
Sortino	1.38	15.67
Smart Sortino	1.0	11.35
Sortino/√2	0.97	11.08
Smart Sortino/√2	0.7	8.02
Omega	1.16	1.16
Max Drawdown	-0.65%	-0.16%
Longest DD Days	7	1
Volatility (ann.)	4.69%	3.41%
R^2	0.03	0.03
Information Ratio	-0.14	-0.14
Calmar	22.15	211.48
Skew	0.83	2.17
Kurtosis	1.73	5.88
Expected Daily	0.04%	0.09%
Expected Monthly	0.2%	0.44%
Expected Yearly	0.4%	0.87%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.45%	-0.27%
Expected Shortfall (cVaR)	-0.45%	-0.27%
Max Consecutive Wins	2	2
Max Consecutive Losses	2	1
Gain/Pain Ratio	0.63	5.51
Gain/Pain (1M)	3.36	-
Payoff Ratio	-	-
Profit Factor	1.63	6.51
Common Sense Ratio	2.94	31.84
CPC Index	-	-
Tail Ratio	1.8	4.89
Outlier Win Ratio	3.49	5.36
Outlier Loss Ratio	1.73	1.77
MTD	0.53%	0.8%
3M	0.4%	0.87%
6M	0.4%	0.87%
YTD	0.4%	0.87%
1Y	0.4%	0.87%
3Y (ann.)	14.32%	33.48%
5Y (ann.)	14.32%	33.48%
10Y (ann.)	14.32%	33.48%
All-time (ann.)	14.32%	33.48%
Best Day	0.65%	0.64%
Worst Day	-0.45%	-0.16%
Best Month	0.53%	0.8%
Worst Month	-0.12%	0.07%
Best Year	0.4%	0.87%
Worst Year	0.4%	0.87%
Avg. Drawdown	-0.65%	-0.16%
Avg. Drawdown Days	7	1
Recovery Factor	0.62	5.52
Ulcer Index	0.0	0.0
Serenity Index	-6.54	-254.25
Avg. Up Month	0.53%	0.8%
Avg. Down Month	-	-
Win Days	33.33%	83.33%
Win Month	50.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.23	-
Alpha	0.05	-
Correlation	16.85%	-
Treynor Ratio	-28.46%	-