SUGB[Strategy] vs RUB Inflation[Benchmark]

25 Sep, 2020 - 13 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	51.1%	59.96%
CAGR﹪	7.6%	8.7%
Sharpe	0.93	4.7
Prob. Sharpe Ratio	98.3%	100.0%
Smart Sharpe	0.66	3.35
Sortino	1.37	100.4
Smart Sortino	0.97	71.56
Sortino/√2	0.97	70.99
Smart Sortino/√2	0.69	50.6
Omega	1.19	1.19
Max Drawdown	-9.84%	-1.25%
Longest DD Days	528	209
Volatility (ann.)	8.62%	1.86%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.77	6.93
Skew	-0.51	20.13
Kurtosis	10.19	418.61
Expected Daily	0.03%	0.03%
Expected Monthly	0.6%	0.68%
Expected Yearly	6.07%	6.94%
Kelly Criterion	2.51%	91.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-0.16%
Expected Shortfall (cVaR)	-0.86%	-0.16%
Max Consecutive Wins	10	718
Max Consecutive Losses	7	51
Gain/Pain Ratio	0.19	27.43
Gain/Pain (1M)	1.75	27.43
Payoff Ratio	0.95	1.91
Profit Factor	1.19	28.43
Common Sense Ratio	1.31	105.81
CPC Index	0.59	51.41
Tail Ratio	1.1	3.72
Outlier Win Ratio	2.0	19.12
Outlier Loss Ratio	1.54	26.07
MTD	0.53%	0.3%
3M	5.54%	2.14%
6M	7.87%	4.73%
YTD	6.69%	4.13%
1Y	21.51%	6.47%
3Y (ann.)	10.92%	8.3%
5Y (ann.)	8.78%	8.78%
10Y (ann.)	7.6%	8.7%
All-time (ann.)	7.6%	8.7%
Best Day	3.13%	2.47%
Worst Day	-5.57%	-0.03%
Best Month	7.42%	7.61%
Worst Month	-7.25%	-0.52%
Best Year	21.75%	11.92%
Worst Year	-0.8%	1.93%
Avg. Drawdown	-0.79%	-0.57%
Avg. Drawdown Days	16	93
Recovery Factor	5.19	47.78
Ulcer Index	0.02	0.0
Serenity Index	5.58	55.16
Avg. Up Month	1.56%	0.81%
Avg. Down Month	-0.11%	-0.46%
Win Days	52.57%	94.48%
Win Month	62.32%	92.75%
Win Quarter	66.67%	91.67%
Win Year	85.71%	100.0%
Beta	0.46	-
Alpha	0.04	-
Correlation	9.9%	-
Treynor Ratio	111.01%	-