SUGB[Strategy] vs RUB Inflation[Benchmark]

25 Sep, 2020 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	31.94%	51.3%
CAGR﹪	5.96%	9.04%
Sharpe	0.73	4.56
Prob. Sharpe Ratio	93.63%	100.0%
Smart Sharpe	0.52	3.26
Sortino	1.06	107.44
Smart Sortino	0.75	76.82
Sortino/√2	0.75	75.97
Smart Sortino/√2	0.53	54.32
Omega	1.14	1.14
Max Drawdown	-9.84%	-1.25%
Longest DD Days	528	209
Volatility (ann.)	8.99%	2.02%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	0.61	7.2
Skew	-0.55	18.61
Kurtosis	10.19	354.74
Expected Daily	0.02%	0.04%
Expected Monthly	0.47%	0.7%
Expected Yearly	4.73%	7.15%
Kelly Criterion	-5.67%	92.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.91%	-0.17%
Expected Shortfall (cVaR)	-0.91%	-0.17%
Max Consecutive Wins	7	701
Max Consecutive Losses	5	51
Gain/Pain Ratio	0.14	31.56
Gain/Pain (1M)	1.2	31.56
Payoff Ratio	0.81	1.83
Profit Factor	1.14	32.56
Common Sense Ratio	1.28	838.55
CPC Index	0.49	56.91
Tail Ratio	1.12	25.75
Outlier Win Ratio	2.07	19.25
Outlier Loss Ratio	1.55	25.93
MTD	0.99%	0.1%
3M	8.45%	1.17%
6M	12.75%	3.88%
YTD	13.43%	4.01%
1Y	20.4%	9.38%
3Y (ann.)	8.06%	7.54%
5Y (ann.)	5.96%	9.04%
10Y (ann.)	5.96%	9.04%
All-time (ann.)	5.96%	9.04%
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	13.43%	11.92%
Worst Year	-0.8%	1.93%
Avg. Drawdown	-0.91%	-0.65%
Avg. Drawdown Days	21	108
Recovery Factor	3.25	40.88
Ulcer Index	0.02	0.0
Serenity Index	3.13	44.13
Avg. Up Month	1.56%	0.86%
Avg. Down Month	-0.08%	-0.52%
Win Days	52.69%	95.24%
Win Month	57.63%	93.22%
Win Quarter	61.9%	90.48%
Win Year	83.33%	100.0%
Beta	0.47	-
Alpha	0.02	-
Correlation	10.53%	-
Treynor Ratio	68.18%	-