SUGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Sep, 2020 - 11 Aug, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	5.19%	14.16%
CAGR%	2.73%	7.31%
Sharpe	0.44	11.05
Sortino	0.58	102.23
Max Drawdown	-9.84%	-0.1%
Longest DD Days	511	1
Volatility (ann.)	7.49%	0.71%
R^2	0.04	0.04
Calmar	0.28	73.09
Skew	-3.5	9.17
Kurtosis	46.8	94.74
Expected Daily %	0.01%	0.03%
Expected Monthly %	0.21%	0.55%
Expected Yearly %	1.7%	4.51%
Kelly Criterion	36.83%	99.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.76%	-0.04%
Expected Shortfall (cVaR)	-1.55%	-1.55%
Payoff Ratio	2.84	0.36
Profit Factor	0.1	132.45
Common Sense Ratio	0.13	474.47
CPC Index	0.15	47.43
Tail Ratio	1.27	3.58
Outlier Win Ratio	2.65	21.28
Outlier Loss Ratio	1.55	4.57
MTD	-0.21%	0.17%
3M	6.44%	2.18%
6M	6.04%	5.48%
YTD	4.92%	6.39%
1Y	4.63%	9.27%
3Y (ann.)	2.73%	7.31%
5Y (ann.)	2.73%	7.31%
10Y (ann.)	2.73%	7.31%
All-time (ann.)	2.73%	7.31%
Best Day	1.76%	0.51%
Worst Day	-5.57%	-0.1%
Best Month	4.36%	1.55%
Worst Month	-7.25%	0.17%
Best Year	4.92%	6.39%
Worst Year	-0.8%	1.39%
Avg. Drawdown	-0.88%	-0.1%
Avg. Drawdown Days	28	1
Recovery Factor	0.53	141.55
Ulcer Index	inf	inf
Avg. Up Month	1.32%	0.61%
Avg. Down Month	nan%	nan%
Win Days %	53.27%	99.76%
Win Month %	58.33%	100.0%
Win Quarter %	55.56%	100.0%
Win Year %	66.67%	100.0%
Beta	2.14	-
Alpha	-0.14	-