SUGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Sep, 2020 - 22 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	48.3%	97.31%
CAGR﹪	7.0%	12.38%
Sharpe	0.86	25.29
Prob. Sharpe Ratio	97.79%	100.0%
Smart Sharpe	0.62	18.1
Sortino	1.26	-
Smart Sortino	0.9	-
Sortino/√2	0.89	-
Smart Sortino/√2	0.64	-
Omega	1.17	1.17
Max Drawdown	-9.84%	-
Longest DD Days	-	-
Volatility (ann.)	8.52%	0.48%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.71	-
Skew	-0.51	8.0
Kurtosis	10.24	120.92
Expected Daily	0.03%	0.05%
Expected Monthly	0.56%	0.96%
Expected Yearly	5.79%	10.2%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.85%	-0.0%
Expected Shortfall (cVaR)	-0.85%	-0.0%
Max Consecutive Wins	10	1423
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	1.59	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.29	-
CPC Index	-	-
Tail Ratio	1.1	4.82
Outlier Win Ratio	1.99	14.86
Outlier Loss Ratio	1.5	-
MTD	-1.2%	0.8%
3M	-1.26%	3.3%
6M	4.94%	6.96%
YTD	4.72%	7.8%
1Y	10.03%	15.49%
3Y (ann.)	10.74%	17.4%
5Y (ann.)	8.27%	13.77%
10Y (ann.)	7.0%	12.38%
All-time (ann.)	7.0%	12.38%
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	4.91	-
Ulcer Index	0.02	0.0
Serenity Index	5.35	-
Avg. Up Month	1.57%	1.03%
Avg. Down Month	-	-
Win Days	52.48%	100.0%
Win Month	60.56%	100.0%
Win Quarter	64.0%	100.0%
Win Year	85.71%	100.0%
Beta	1.87	-
Alpha	-0.15	-
Correlation	10.44%	-
Treynor Ratio	25.82%	-