SUGB RUB[Strategy] vs [Benchmark] RUGBITR3Y RUB

5 Oct, 2020 - 24 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	90.0%	97.0%
Cumulative Return	52.59%	56.42%
CAGR﹪	7.44%	7.89%
Sharpe	0.07	0.16
Prob. Sharpe Ratio	29.8%	75.26%
Smart Sharpe	0.05	0.12
Sortino	0.1	0.21
Smart Sortino	0.08	0.16
Sortino/√2	0.07	0.15
Smart Sortino/√2	0.05	0.11
Omega	1.01	1.01
Max Drawdown	-9.84%	-12.96%
Longest DD Days	511	513
Volatility (ann.)	8.27%	5.04%
R^2	0.05	0.05
Information Ratio	-0.0	-0.0
Calmar	0.76	0.61
Skew	-0.51	-5.73
Kurtosis	11.0	188.22
Expected Daily	0.03%	0.03%
Expected Monthly	0.6%	0.63%
Expected Yearly	6.22%	6.6%
Kelly Criterion	12.08%	23.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.83%	-0.49%
Expected Shortfall (cVaR)	-0.83%	-0.49%
Max Consecutive Wins	10	20
Max Consecutive Losses	7	9
Gain/Pain Ratio	0.18	0.52
Gain/Pain (1M)	1.77	1.98
Payoff Ratio	1.17	1.07
Profit Factor	1.18	1.52
Common Sense Ratio	1.3	2.06
CPC Index	0.73	0.98
Tail Ratio	1.1	1.35
Outlier Win Ratio	2.99	6.9
Outlier Loss Ratio	2.36	6.0
MTD	0.86%	0.91%
3M	1.12%	1.23%
6M	6.28%	6.0%
YTD	7.86%	8.36%
1Y	10.87%	11.97%
3Y (ann.)	12.6%	13.49%
5Y (ann.)	8.94%	9.77%
10Y (ann.)	7.44%	7.89%
All-time (ann.)	7.44%	7.89%
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	-0.84%	-0.54%
Avg. Drawdown Days	16	20
Recovery Factor	5.35	4.35
Ulcer Index	0.02	0.02
Serenity Index	4.53	2.35
Avg. Up Month	1.65%	1.59%
Avg. Down Month	-1.21%	-1.18%
Win Days	52.67%	60.35%
Win Month	61.97%	70.42%
Win Quarter	66.67%	70.83%
Win Year	85.71%	85.71%
Beta	0.35	-
Alpha	0.05	-
Correlation	21.25%	-
Treynor Ratio	130.77%	-