SUGB[Strategy] vs RUB Inflation[Benchmark]

25 Sep, 2020 - 3 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	39.62%	53.24%
CAGR﹪	6.64%	8.57%
Sharpe	0.81	4.48
Prob. Sharpe Ratio	96.1%	100.0%
Smart Sharpe	0.57	3.19
Sortino	1.18	95.46
Smart Sortino	0.84	67.92
Sortino/√2	0.83	67.5
Smart Sortino/√2	0.59	48.03
Omega	1.16	1.16
Max Drawdown	-9.84%	-1.25%
Longest DD Days	528	209
Volatility (ann.)	8.89%	1.94%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.67	6.83
Skew	-0.5	19.37
Kurtosis	9.74	385.66
Expected Daily	0.03%	0.03%
Expected Monthly	0.52%	0.67%
Expected Yearly	5.72%	7.37%
Kelly Criterion	2.89%	90.86%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.89%	-0.17%
Expected Shortfall (cVaR)	-0.89%	-0.17%
Max Consecutive Wins	7	718
Max Consecutive Losses	7	51
Gain/Pain Ratio	0.16	24.93
Gain/Pain (1M)	1.43	24.93
Payoff Ratio	0.98	1.95
Profit Factor	1.16	25.93
Common Sense Ratio	1.31	87.47
CPC Index	0.59	47.61
Tail Ratio	1.13	3.37
Outlier Win Ratio	1.97	19.3
Outlier Loss Ratio	1.53	26.65
MTD	0.94%	0.07%
3M	2.08%	1.31%
6M	10.64%	1.71%
YTD	20.03%	5.35%
1Y	28.58%	6.67%
3Y (ann.)	9.05%	7.63%
5Y (ann.)	6.8%	8.65%
10Y (ann.)	6.64%	8.57%
All-time (ann.)	6.64%	8.57%
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	20.03%	11.92%
Worst Year	-0.8%	1.93%
Avg. Drawdown	-0.88%	-0.57%
Avg. Drawdown Days	19	93
Recovery Factor	4.03	42.43
Ulcer Index	0.02	0.0
Serenity Index	4.12	46.57
Avg. Up Month	1.55%	0.81%
Avg. Down Month	-0.11%	-0.46%
Win Days	51.9%	93.96%
Win Month	59.38%	92.19%
Win Quarter	63.64%	90.91%
Win Year	83.33%	100.0%
Beta	0.47	-
Alpha	0.03	-
Correlation	10.14%	-
Treynor Ratio	85.09%	-