SUGB RUB[Strategy] vs MBGB RUB[Benchmark]

27 Jan, 2022 - 24 May, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	99.0%
Cumulative Return	12.78%	11.9%
CAGR﹪	9.54%	8.89%
Sharpe	2.11	1.11
Prob. Sharpe Ratio	74.54%	54.41%
Smart Sharpe	1.86	0.97
Sortino	2.87	1.49
Smart Sortino	2.52	1.31
Sortino/√2	2.03	1.05
Smart Sortino/√2	1.78	0.93
Omega	1.52	1.52
Max Drawdown	-7.25%	-13.06%
Longest DD Days	59	246
Volatility (ann.)	15.8%	31.16%
R^2	0.32	0.32
Information Ratio	-0.0	-0.0
Calmar	1.31	0.68
Skew	-2.2	-1.35
Kurtosis	13.5	5.89
Expected Daily	0.15%	0.14%
Expected Monthly	0.71%	0.66%
Expected Yearly	6.2%	5.78%
Kelly Criterion	16.75%	5.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.48%	-3.07%
Expected Shortfall (cVaR)	-1.48%	-3.07%
Max Consecutive Wins	8	5
Max Consecutive Losses	3	4
Gain/Pain Ratio	0.66	0.28
Gain/Pain (1M)	1.52	0.65
Payoff Ratio	0.94	0.7
Profit Factor	1.66	1.28
Common Sense Ratio	2.98	1.44
CPC Index	0.93	0.55
Tail Ratio	1.79	1.12
Outlier Win Ratio	4.81	2.51
Outlier Loss Ratio	5.76	2.44
MTD	-0.54%	1.87%
3M	1.61%	5.48%
6M	2.78%	3.93%
YTD	1.93%	3.11%
1Y	11.69%	13.43%
3Y (ann.)	9.54%	8.89%
5Y (ann.)	9.54%	8.89%
10Y (ann.)	9.54%	8.89%
All-time (ann.)	9.54%	8.89%
Best Day	2.36%	4.02%
Worst Day	-5.57%	-9.24%
Best Month	4.36%	8.59%
Worst Month	-7.25%	-12.52%
Best Year	10.64%	8.53%
Worst Year	1.93%	3.11%
Avg. Drawdown	-1.14%	-4.45%
Avg. Drawdown Days	15	66
Recovery Factor	1.76	0.91
Ulcer Index	0.02	0.04
Serenity Index	1.23	0.37
Avg. Up Month	1.71%	2.75%
Avg. Down Month	-3.77%	-8.37%
Win Days	59.72%	61.04%
Win Month	82.35%	70.59%
Win Quarter	83.33%	66.67%
Win Year	100.0%	100.0%
Beta	0.29	-
Alpha	0.28	-
Correlation	56.63%	-
Treynor Ratio	20.14%	-