SUGB RUB[Strategy] vs ESGE RUB[Benchmark]

3 Aug, 2022 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	99.0%
Cumulative Return	34.0%	33.5%
CAGR﹪	9.1%	8.98%
Sharpe	0.27	0.2
Prob. Sharpe Ratio	40.83%	13.48%
Smart Sharpe	0.18	0.14
Sortino	0.4	0.28
Smart Sortino	0.27	0.19
Sortino/√2	0.28	0.2
Smart Sortino/√2	0.19	0.13
Omega	1.05	1.05
Max Drawdown	-4.77%	-33.35%
Longest DD Days	352	571
Volatility (ann.)	9.49%	22.53%
R^2	0.04	0.04
Information Ratio	-0.01	-0.01
Calmar	1.91	0.27
Skew	0.24	-0.02
Kurtosis	1.89	3.84
Expected Daily	0.04%	0.03%
Expected Monthly	0.72%	0.71%
Expected Yearly	7.59%	7.49%
Kelly Criterion	5.1%	0.33%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.95%	-2.29%
Expected Shortfall (cVaR)	-0.95%	-2.29%
Max Consecutive Wins	6	10
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.18	0.09
Gain/Pain (1M)	2.59	0.41
Payoff Ratio	1.05	0.85
Profit Factor	1.18	1.09
Common Sense Ratio	1.34	1.06
CPC Index	0.64	0.5
Tail Ratio	1.14	0.97
Outlier Win Ratio	6.13	2.75
Outlier Loss Ratio	5.69	2.35
MTD	2.06%	1.1%
3M	2.95%	-7.08%
6M	10.38%	3.29%
YTD	21.36%	-4.12%
1Y	28.88%	13.23%
3Y (ann.)	9.69%	8.66%
5Y (ann.)	9.1%	8.98%
10Y (ann.)	9.1%	8.98%
All-time (ann.)	9.1%	8.98%
Best Day	3.13%	8.47%
Worst Day	-2.51%	-7.64%
Best Month	7.42%	15.75%
Worst Month	-2.6%	-16.36%
Best Year	21.36%	37.09%
Worst Year	2.93%	-4.12%
Avg. Drawdown	-0.95%	-3.5%
Avg. Drawdown Days	16	40
Recovery Factor	7.13	1.0
Ulcer Index	0.02	0.15
Serenity Index	3.27	0.1
Avg. Up Month	1.81%	5.03%
Avg. Down Month	-1.04%	-7.17%
Win Days	51.3%	54.22%
Win Month	58.54%	63.41%
Win Quarter	64.29%	57.14%
Win Year	100.0%	50.0%
Beta	0.09	-
Alpha	0.08	-
Correlation	20.77%	-
Treynor Ratio	308.85%	-