SUGB[Strategy] vs RUB Inflation[Benchmark]

25 Sep, 2020 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	9.03%	40.11%
CAGR﹪	2.17%	8.72%
Sharpe	0.31	4.08
Prob. Sharpe Ratio	72.35%	100.0%
Smart Sharpe	0.21	2.78
Sortino	0.43	96.04
Smart Sortino	0.29	65.48
Sortino/√2	0.3	67.91
Smart Sortino/√2	0.21	46.3
Omega	1.06	1.06
Max Drawdown	-9.84%	-1.25%
Longest DD Days	511	209
Volatility (ann.)	8.66%	2.21%
R^2	0.01	0.01
Information Ratio	-0.05	-0.05
Calmar	0.22	6.95
Skew	-1.06	17.07
Kurtosis	12.69	296.98
Expected Daily	0.01%	0.04%
Expected Monthly	0.17%	0.68%
Expected Yearly	1.74%	6.98%
Kelly Criterion	-12.27%	91.23%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.89%	-0.19%
Expected Shortfall (cVaR)	-0.89%	-0.19%
Max Consecutive Wins	7	509
Max Consecutive Losses	5	51
Gain/Pain Ratio	0.06	25.72
Gain/Pain (1M)	0.45	25.72
Payoff Ratio	0.74	1.88
Profit Factor	1.06	26.72
Common Sense Ratio	1.16	71.53
CPC Index	0.41	47.33
Tail Ratio	1.09	2.68
Outlier Win Ratio	2.15	18.39
Outlier Loss Ratio	1.53	25.01
MTD	-0.46%	0.05%
3M	-0.5%	1.29%
6M	-2.15%	3.36%
YTD	-2.59%	5.48%
1Y	1.58%	8.11%
3Y (ann.)	3.36%	9.08%
5Y (ann.)	2.17%	8.72%
10Y (ann.)	2.17%	8.72%
All-time (ann.)	2.17%	8.72%
Best Day	2.45%	2.47%
Worst Day	-5.57%	-0.03%
Best Month	4.36%	7.61%
Worst Month	-7.25%	-0.52%
Best Year	8.15%	11.92%
Worst Year	-2.59%	1.93%
Avg. Drawdown	-0.94%	-0.65%
Avg. Drawdown Days	24	108
Recovery Factor	0.92	31.97
Ulcer Index	0.02	0.0
Serenity Index	0.87	31.18
Avg. Up Month	1.22%	0.9%
Avg. Down Month	-0.08%	-0.52%
Win Days	52.27%	94.27%
Win Month	50.0%	92.0%
Win Quarter	50.0%	88.89%
Win Year	60.0%	100.0%
Beta	0.46	-
Alpha	-0.02	-
Correlation	11.86%	-
Treynor Ratio	19.46%	-