SUGB RUB[Strategy] vs [Benchmark] RUGBITR3Y RUB

5 Oct, 2020 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	88.0%	100.0%
Cumulative Return	10.52%	12.09%
CAGR﹪	2.85%	3.26%
Sharpe	-25.06	-36.68
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-18.74	-27.43
Sortino	-13.48	-14.68
Smart Sortino	-10.08	-10.98
Sortino/√2	-9.53	-10.38
Smart Sortino/√2	-7.13	-7.77
Omega	0.02	0.02
Max Drawdown	-9.84%	-12.96%
Longest DD Days	511	513
Volatility (ann.)	8.21%	5.6%
R^2	0.01	0.01
Information Ratio	-0.0	-0.0
Calmar	0.29	0.25
Skew	-1.28	-8.07
Kurtosis	16.56	201.92
Expected Daily	0.01%	0.01%
Expected Monthly	0.23%	0.27%
Expected Yearly	2.02%	2.31%
Kelly Criterion	10.41%	13.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.84%	-0.57%
Expected Shortfall (cVaR)	-0.84%	-0.57%
Max Consecutive Wins	7	20
Max Consecutive Losses	5	9
Gain/Pain Ratio	0.08	0.23
Gain/Pain (1M)	0.56	0.63
Payoff Ratio	1.12	0.86
Profit Factor	1.08	1.23
Common Sense Ratio	1.19	1.54
CPC Index	0.64	0.63
Tail Ratio	1.1	1.25
Outlier Win Ratio	3.41	8.33
Outlier Loss Ratio	2.47	6.45
MTD	-0.63%	0.3%
3M	-0.18%	0.41%
6M	2.26%	3.41%
YTD	-1.16%	1.55%
1Y	-0.36%	1.09%
3Y (ann.)	3.28%	4.37%
5Y (ann.)	2.85%	3.26%
10Y (ann.)	2.85%	3.26%
All-time (ann.)	2.85%	3.26%
Best Day	2.45%	3.39%
Worst Day	-5.57%	-7.11%
Best Month	4.36%	5.12%
Worst Month	-7.25%	-6.06%
Best Year	8.15%	9.43%
Worst Year	-1.16%	-2.46%
Avg. Drawdown	-1.0%	-0.55%
Avg. Drawdown Days	22	24
Recovery Factor	1.07	0.93
Ulcer Index	0.02	0.02
Serenity Index	-56.58	-24.39
Avg. Up Month	1.48%	1.4%
Avg. Down Month	-1.24%	-1.23%
Win Days	52.59%	59.91%
Win Month	53.49%	60.47%
Win Quarter	53.33%	66.67%
Win Year	60.0%	80.0%
Beta	0.12	-
Alpha	0.03	-
Correlation	8.09%	-
Treynor Ratio	-5813.34%	-