SUGB RUB[Strategy] vs GLVD RUB[Benchmark]

20 Dec, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	98.0%
Cumulative Return	-8.48%	6.93%
CAGR﹪	-38.28%	44.03%
Sharpe	-4.05	1.27
Prob. Sharpe Ratio	0.04%	55.82%
Smart Sharpe	-3.92	1.23
Sortino	-4.11	2.02
Smart Sortino	-3.98	1.96
Sortino/√2	-2.9	1.43
Smart Sortino/√2	-2.81	1.38
Omega	0.32	0.32
Max Drawdown	-9.44%	-9.94%
Longest DD Days	51	46
Volatility (ann.)	15.5%	32.75%
R^2	0.34	0.34
Information Ratio	-0.15	-0.15
Calmar	-4.06	4.43
Skew	-4.44	0.55
Kurtosis	24.63	7.41
Expected Daily	-0.23%	0.17%
Expected Monthly	-2.91%	2.26%
Expected Yearly	-4.33%	3.41%
Kelly Criterion	-19.92%	-46.05%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.83%	-3.2%
Expected Shortfall (cVaR)	-1.83%	-3.2%
Max Consecutive Wins	3	5
Max Consecutive Losses	4	3
Gain/Pain Ratio	-0.63	0.37
Gain/Pain (1M)	-0.95	3.07
Payoff Ratio	0.98	0.44
Profit Factor	0.37	1.37
Common Sense Ratio	0.3	2.01
CPC Index	0.15	0.34
Tail Ratio	0.81	1.47
Outlier Win Ratio	11.86	2.79
Outlier Loss Ratio	7.39	3.9
MTD	-6.76%	6.8%
3M	-8.48%	6.93%
6M	-8.48%	6.93%
YTD	-8.86%	3.81%
1Y	-8.48%	6.93%
3Y (ann.)	-38.28%	44.03%
5Y (ann.)	-38.28%	44.03%
10Y (ann.)	-38.28%	44.03%
All-time (ann.)	-38.28%	44.03%
Best Day	1.04%	8.08%
Worst Day	-5.57%	-6.57%
Best Month	0.42%	6.8%
Worst Month	-6.76%	-2.8%
Best Year	0.42%	3.81%
Worst Year	-8.86%	3.0%
Avg. Drawdown	-3.44%	-3.58%
Avg. Drawdown Days	20	18
Recovery Factor	-0.9	0.7
Ulcer Index	0.02	0.06
Serenity Index	-1.33	-0.0
Avg. Up Month	0.42%	3.0%
Avg. Down Month	-2.25%	-2.8%
Win Days	40.54%	55.26%
Win Month	33.33%	66.67%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.27	-
Alpha	-0.43	-
Correlation	-58.04%	-
Treynor Ratio	56.34%	-