SUGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Sep, 2020 - 7 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	53.74%	100.45%
CAGR﹪	7.49%	12.39%
Sharpe	0.92	25.46
Prob. Sharpe Ratio	98.53%	100.0%
Smart Sharpe	0.66	18.22
Sortino	1.35	-
Smart Sortino	0.97	-
Sortino/√2	0.95	-
Smart Sortino/√2	0.68	-
Omega	1.18	1.18
Max Drawdown	-9.84%	-
Longest DD Days	-	-
Volatility (ann.)	8.42%	0.47%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.76	-
Skew	-0.51	8.1
Kurtosis	10.48	124.0
Expected Daily	0.03%	0.05%
Expected Monthly	0.59%	0.96%
Expected Yearly	6.34%	10.44%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.84%	-0.0%
Expected Shortfall (cVaR)	-0.84%	-0.0%
Max Consecutive Wins	10	1465
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.18	-
Gain/Pain (1M)	1.8	-
Payoff Ratio	-	-
Profit Factor	1.18	-
Common Sense Ratio	1.3	-
CPC Index	-	-
Tail Ratio	1.1	4.82
Outlier Win Ratio	1.95	14.57
Outlier Loss Ratio	1.5	-
MTD	0.29%	0.24%
3M	1.68%	3.25%
6M	5.77%	6.67%
YTD	8.56%	9.51%
1Y	12.16%	14.93%
3Y (ann.)	13.12%	17.53%
5Y (ann.)	9.3%	13.94%
10Y (ann.)	7.49%	12.39%
All-time (ann.)	7.49%	12.39%
Best Day	3.13%	0.51%
Worst Day	-5.57%	0.0%
Best Month	7.42%	1.83%
Worst Month	-7.25%	0.24%
Best Year	21.75%	19.38%
Worst Year	-0.8%	1.39%
Avg. Drawdown	-0.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.46	-
Ulcer Index	0.02	0.0
Serenity Index	6.03	-
Avg. Up Month	1.52%	1.02%
Avg. Down Month	-	-
Win Days	52.78%	100.0%
Win Month	63.01%	100.0%
Win Quarter	68.0%	100.0%
Win Year	85.71%	100.0%
Beta	1.85	-
Alpha	-0.14	-
Correlation	10.3%	-
Treynor Ratio	29.1%	-