SUGB RUB[Strategy] vs [Benchmark] RUGBITR3Y RUB

5 Oct, 2020 - 1 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	89.0%	99.0%
Cumulative Return	35.59%	38.99%
CAGR﹪	6.4%	6.94%
Sharpe	-0.02	0.02
Prob. Sharpe Ratio	21.88%	60.4%
Smart Sharpe	-0.01	0.01
Sortino	-0.03	0.02
Smart Sortino	-0.02	0.02
Sortino/√2	-0.02	0.02
Smart Sortino/√2	-0.01	0.01
Omega	1.0	1.0
Max Drawdown	-9.84%	-12.96%
Longest DD Days	511	513
Volatility (ann.)	8.74%	5.42%
R^2	0.04	0.04
Information Ratio	-0.0	-0.0
Calmar	0.65	0.54
Skew	-0.54	-5.66
Kurtosis	10.65	172.85
Expected Daily	0.02%	0.03%
Expected Monthly	0.51%	0.55%
Expected Yearly	5.21%	5.64%
Kelly Criterion	11.26%	20.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.88%	-0.53%
Expected Shortfall (cVaR)	-0.88%	-0.53%
Max Consecutive Wins	7	20
Max Consecutive Losses	5	9
Gain/Pain Ratio	0.15	0.45
Gain/Pain (1M)	1.31	1.48
Payoff Ratio	1.16	1.01
Profit Factor	1.15	1.45
Common Sense Ratio	1.28	1.93
CPC Index	0.7	0.88
Tail Ratio	1.11	1.33
Outlier Win Ratio	3.1	7.2
Outlier Loss Ratio	2.35	6.17
MTD	0.0%	0.0%
3M	7.21%	7.96%
6M	12.3%	13.84%
YTD	16.69%	18.35%
1Y	23.13%	24.97%
3Y (ann.)	9.4%	10.51%
5Y (ann.)	6.4%	6.94%
10Y (ann.)	6.4%	6.94%
All-time (ann.)	6.4%	6.94%
Best Day	3.13%	3.39%
Worst Day	-5.57%	-7.11%
Best Month	7.42%	7.35%
Worst Month	-7.25%	-6.06%
Best Year	16.69%	18.35%
Worst Year	-0.8%	-2.46%
Avg. Drawdown	-0.95%	-0.63%
Avg. Drawdown Days	19	24
Recovery Factor	3.62	3.01
Ulcer Index	0.02	0.02
Serenity Index	2.55	1.36
Avg. Up Month	1.85%	1.76%
Avg. Down Month	-1.26%	-1.23%
Win Days	52.34%	60.03%
Win Month	55.93%	66.1%
Win Quarter	60.0%	65.0%
Win Year	83.33%	83.33%
Beta	0.32	-
Alpha	0.04	-
Correlation	20.14%	-
Treynor Ratio	88.06%	-