SUGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Sep, 2020 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	51.5%	94.07%
CAGR﹪	7.57%	12.35%
Sharpe	0.93	25.11
Prob. Sharpe Ratio	98.34%	100.0%
Smart Sharpe	0.66	17.91
Sortino	1.36	-
Smart Sortino	0.97	-
Sortino/√2	0.96	-
Smart Sortino/√2	0.69	-
Omega	1.19	1.19
Max Drawdown	-9.84%	-
Longest DD Days	-	-
Volatility (ann.)	8.57%	0.48%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.77	-
Skew	-0.51	7.89
Kurtosis	10.29	117.65
Expected Daily	0.03%	0.05%
Expected Monthly	0.6%	0.95%
Expected Yearly	6.11%	9.94%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-0.0%
Expected Shortfall (cVaR)	-0.86%	-0.0%
Max Consecutive Wins	10	1379
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.19	-
Gain/Pain (1M)	1.77	-
Payoff Ratio	-	-
Profit Factor	1.19	-
Common Sense Ratio	1.31	-
CPC Index	-	-
Tail Ratio	1.1	4.82
Outlier Win Ratio	1.99	15.03
Outlier Loss Ratio	1.5	-
MTD	0.6%	0.2%
3M	4.51%	3.38%
6M	8.24%	7.13%
YTD	6.98%	6.03%
1Y	19.06%	16.11%
3Y (ann.)	11.28%	17.19%
5Y (ann.)	8.86%	13.55%
10Y (ann.)	7.57%	12.35%
All-time (ann.)	7.57%	12.35%
Best Day	3.13%	0.51%
Worst Day	-5.57%	0.0%
Best Month	7.42%	1.83%
Worst Month	-7.25%	0.2%
Best Year	21.75%	19.38%
Worst Year	-0.8%	1.39%
Avg. Drawdown	-0.78%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.23	-
Ulcer Index	0.02	0.0
Serenity Index	5.67	-
Avg. Up Month	1.55%	1.01%
Avg. Down Month	-	-
Win Days	52.29%	100.0%
Win Month	62.86%	100.0%
Win Quarter	66.67%	100.0%
Win Year	85.71%	100.0%
Beta	1.85	-
Alpha	-0.14	-
Correlation	10.42%	-
Treynor Ratio	27.82%	-