SUGB RUB[Strategy] vs [Benchmark] RUGBITR3Y RUB

5 Oct, 2020 - 20 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	89.0%	99.0%
Cumulative Return	43.57%	47.56%
CAGR﹪	6.95%	7.5%
Sharpe	0.04	0.12
Prob. Sharpe Ratio	25.92%	69.21%
Smart Sharpe	0.03	0.09
Sortino	0.05	0.15
Smart Sortino	0.04	0.11
Sortino/√2	0.04	0.11
Smart Sortino/√2	0.03	0.08
Omega	1.01	1.01
Max Drawdown	-9.84%	-12.96%
Longest DD Days	511	513
Volatility (ann.)	8.57%	5.25%
R^2	0.04	0.04
Information Ratio	-0.0	-0.0
Calmar	0.71	0.58
Skew	-0.51	-5.69
Kurtosis	10.56	179.23
Expected Daily	0.03%	0.03%
Expected Monthly	0.56%	0.6%
Expected Yearly	5.3%	5.72%
Kelly Criterion	11.89%	21.88%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-0.51%
Expected Shortfall (cVaR)	-0.86%	-0.51%
Max Consecutive Wins	7	20
Max Consecutive Losses	7	9
Gain/Pain Ratio	0.17	0.49
Gain/Pain (1M)	1.55	1.75
Payoff Ratio	1.19	1.05
Profit Factor	1.17	1.49
Common Sense Ratio	1.29	2.02
CPC Index	0.72	0.94
Tail Ratio	1.1	1.35
Outlier Win Ratio	3.03	6.95
Outlier Loss Ratio	2.34	6.07
MTD	1.41%	1.46%
3M	3.49%	3.67%
6M	4.42%	5.35%
YTD	1.48%	2.22%
1Y	20.96%	21.89%
3Y (ann.)	9.73%	10.8%
5Y (ann.)	7.64%	8.07%
10Y (ann.)	6.95%	7.5%
All-time (ann.)	6.95%	7.5%
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	21.75%	22.91%
Worst Year	-0.8%	-2.46%
Avg. Drawdown	-0.91%	-0.6%
Avg. Drawdown Days	18	23
Recovery Factor	4.43	3.67
Ulcer Index	0.02	0.02
Serenity Index	3.45	1.82
Avg. Up Month	1.7%	1.63%
Avg. Down Month	-1.26%	-1.23%
Win Days	52.13%	60.03%
Win Month	60.0%	69.23%
Win Quarter	63.64%	68.18%
Win Year	85.71%	85.71%
Beta	0.34	-
Alpha	0.05	-
Correlation	20.55%	-
Treynor Ratio	109.0%	-