SUGB RUB[Strategy] vs FINC RUB[Benchmark]

19 Sep, 2024 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	80.0%
Cumulative Return	13.17%	13.37%
CAGR﹪	21.58%	21.92%
Sharpe	1.89	0.7
Prob. Sharpe Ratio	83.26%	39.5%
Smart Sharpe	1.82	0.67
Sortino	3.26	1.37
Smart Sortino	3.15	1.32
Sortino/√2	2.3	0.97
Smart Sortino/√2	2.23	0.94
Omega	1.39	1.39
Max Drawdown	-3.18%	-40.13%
Longest DD Days	84	11
Volatility (ann.)	11.53%	118.27%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	6.79	0.55
Skew	0.86	5.24
Kurtosis	2.92	67.91
Expected Daily	0.11%	0.11%
Expected Monthly	1.38%	1.4%
Expected Yearly	6.38%	6.47%
Kelly Criterion	29.26%	67.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-11.9%
Expected Shortfall (cVaR)	-1.08%	-11.9%
Max Consecutive Wins	5	5
Max Consecutive Losses	5	2
Gain/Pain Ratio	0.54	0.86
Gain/Pain (1M)	4.86	-
Payoff Ratio	1.99	12.43
Profit Factor	1.54	1.86
Common Sense Ratio	1.84	3.51
CPC Index	1.62	16.14
Tail Ratio	1.19	1.88
Outlier Win Ratio	3.05	1.74
Outlier Loss Ratio	1.98	0.56
MTD	0.53%	0.62%
3M	5.12%	5.82%
6M	15.11%	11.06%
YTD	6.56%	7.51%
1Y	13.17%	13.37%
3Y (ann.)	21.58%	21.92%
5Y (ann.)	21.58%	21.92%
10Y (ann.)	21.58%	21.92%
All-time (ann.)	21.58%	21.92%
Best Day	3.13%	67.49%
Worst Day	-1.51%	-40.13%
Best Month	7.12%	2.28%
Worst Month	-2.6%	0.2%
Best Year	6.56%	7.51%
Worst Year	6.2%	5.45%
Avg. Drawdown	-1.33%	-1.91%
Avg. Drawdown Days	19	4
Recovery Factor	4.14	0.33
Ulcer Index	0.01	0.04
Serenity Index	1.51	1.87
Avg. Up Month	2.19%	1.48%
Avg. Down Month	-	-
Win Days	52.88%	69.66%
Win Month	87.5%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.0	-
Alpha	0.29	-
Correlation	-4.88%	-
Treynor Ratio	-1297.26%	-