SUGB RUB[Strategy] vs FXIM RUB[Benchmark]

24 Dec, 2020 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	99.0%
Cumulative Return	-9.32%	18.67%
CAGR﹪	-8.0%	15.71%
Sharpe	-2.08	0.53
Prob. Sharpe Ratio	0.14%	40.68%
Smart Sharpe	-1.68	0.43
Sortino	-2.31	0.76
Smart Sortino	-1.87	0.62
Sortino/√2	-1.63	0.54
Smart Sortino/√2	-1.32	0.44
Omega	0.62	0.62
Max Drawdown	-9.84%	-11.66%
Longest DD Days	410	81
Volatility (ann.)	7.26%	18.98%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	-0.81	1.35
Skew	-6.19	-0.05
Kurtosis	74.83	1.47
Expected Daily	-0.03%	0.06%
Expected Monthly	-0.65%	1.15%
Expected Yearly	-3.21%	5.87%
Kelly Criterion	-6.73%	7.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.79%	-1.9%
Expected Shortfall (cVaR)	-0.79%	-1.9%
Max Consecutive Wins	7	8
Max Consecutive Losses	5	6
Gain/Pain Ratio	-0.23	0.16
Gain/Pain (1M)	-0.74	0.93
Payoff Ratio	0.92	0.96
Profit Factor	0.77	1.16
Common Sense Ratio	0.72	1.12
CPC Index	0.35	0.61
Tail Ratio	0.94	0.97
Outlier Win Ratio	8.66	2.06
Outlier Loss Ratio	6.47	2.08
MTD	-7.25%	-4.78%
3M	-7.12%	-9.36%
6M	-9.36%	-3.3%
YTD	-8.86%	-10.47%
1Y	-9.38%	13.58%
3Y (ann.)	-8.0%	15.71%
5Y (ann.)	-8.0%	15.71%
10Y (ann.)	-8.0%	15.71%
All-time (ann.)	-8.0%	15.71%
Best Day	1.09%	5.05%
Worst Day	-5.57%	-4.22%
Best Month	1.54%	6.59%
Worst Month	-7.25%	-6.6%
Best Year	0.3%	30.72%
Worst Year	-8.86%	-10.47%
Avg. Drawdown	-5.04%	-3.4%
Avg. Drawdown Days	207	19
Recovery Factor	-0.95	1.6
Ulcer Index	0.02	0.05
Serenity Index	-1.69	0.36
Avg. Up Month	0.54%	3.23%
Avg. Down Month	-2.33%	-5.16%
Win Days	48.88%	54.42%
Win Month	40.0%	73.33%
Win Quarter	33.33%	83.33%
Win Year	33.33%	66.67%
Beta	0.03	-
Alpha	-0.09	-
Correlation	7.0%	-
Treynor Ratio	-609.89%	-