SUGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Sep, 2020 - 13 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	48.1%	90.81%
CAGR﹪	7.33%	12.35%
Sharpe	0.9	24.98
Prob. Sharpe Ratio	97.87%	100.0%
Smart Sharpe	0.64	17.82
Sortino	1.32	-
Smart Sortino	0.94	-
Sortino/√2	0.93	-
Smart Sortino/√2	0.66	-
Omega	1.18	1.18
Max Drawdown	-9.84%	-
Longest DD Days	-	-
Volatility (ann.)	8.7%	0.49%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.75	-
Skew	-0.51	7.76
Kurtosis	10.03	114.11
Expected Daily	0.03%	0.05%
Expected Monthly	0.58%	0.95%
Expected Yearly	5.77%	9.67%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.87%	-0.0%
Expected Shortfall (cVaR)	-0.87%	-0.0%
Max Consecutive Wins	10	1330
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.18	-
Gain/Pain (1M)	1.67	-
Payoff Ratio	-	-
Profit Factor	1.18	-
Common Sense Ratio	1.3	-
CPC Index	-	-
Tail Ratio	1.1	4.94
Outlier Win Ratio	2.0	15.03
Outlier Loss Ratio	1.47	-
MTD	0.0%	0.67%
3M	3.96%	3.95%
6M	9.56%	7.84%
YTD	4.58%	4.25%
1Y	20.45%	17.39%
3Y (ann.)	10.3%	17.0%
5Y (ann.)	8.17%	13.33%
10Y (ann.)	7.33%	12.35%
All-time (ann.)	7.33%	12.35%
Best Day	3.13%	0.51%
Worst Day	-5.57%	0.0%
Best Month	7.42%	1.83%
Worst Month	-7.25%	0.27%
Best Year	21.75%	19.38%
Worst Year	-0.8%	1.39%
Avg. Drawdown	-0.8%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.89	-
Ulcer Index	0.02	0.0
Serenity Index	5.2	-
Avg. Up Month	1.57%	1.02%
Avg. Down Month	-	-
Win Days	52.5%	100.0%
Win Month	61.76%	100.0%
Win Quarter	66.67%	100.0%
Win Year	85.71%	100.0%
Beta	1.86	-
Alpha	-0.15	-
Correlation	10.5%	-
Treynor Ratio	25.81%	-