SUGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Sep, 2020 - 22 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	50.8%	91.67%
CAGR﹪	7.65%	12.38%
Sharpe	0.94	25.06
Prob. Sharpe Ratio	98.28%	100.0%
Smart Sharpe	0.67	17.88
Sortino	1.37	-
Smart Sortino	0.98	-
Sortino/√2	0.97	-
Smart Sortino/√2	0.69	-
Omega	1.19	1.19
Max Drawdown	-9.84%	-
Longest DD Days	-	-
Volatility (ann.)	8.66%	0.49%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.78	-
Skew	-0.51	7.79
Kurtosis	10.16	114.89
Expected Daily	0.03%	0.05%
Expected Monthly	0.61%	0.96%
Expected Yearly	6.04%	9.74%
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	1339
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.19	-
Gain/Pain (1M)	1.75	-
Payoff Ratio	-	-
Profit Factor	1.19	-
Common Sense Ratio	1.32	-
CPC Index	-	-
Tail Ratio	1.11	4.91
Outlier Win Ratio	2.0	15.0
Outlier Loss Ratio	1.48	-
MTD	1.82%	1.12%
3M	6.71%	3.9%
6M	10.17%	7.9%
YTD	6.48%	4.71%
1Y	21.85%	17.39%
3Y (ann.)	10.9%	17.08%
5Y (ann.)	8.56%	13.41%
10Y (ann.)	7.65%	12.38%
All-time (ann.)	7.65%	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	-0.79%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.16	-
Ulcer Index	0.02	0.0
Serenity Index	5.5	-
Avg. Up Month	1.61%	1.03%
Avg. Down Month	-	-
Win Days	52.56%	100.0%
Win Month	61.76%	100.0%
Win Quarter	66.67%	100.0%
Win Year	85.71%	100.0%
Beta	1.87	-
Alpha	-0.15	-
Correlation	10.52%	-
Treynor Ratio	27.22%	-