SUGB RUB[Strategy] vs RCMM RUB[Benchmark]

23 Aug, 2021 - 24 Aug, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	95.0%
Cumulative Return	8.95%	13.32%
CAGR﹪	4.37%	6.44%
Sharpe	-0.13	0.21
Prob. Sharpe Ratio	22.93%	99.79%
Smart Sharpe	-0.09	0.16
Sortino	-0.18	0.35
Smart Sortino	-0.13	0.25
Sortino/√2	-0.12	0.25
Smart Sortino/√2	-0.09	0.18
Omega	0.98	0.98
Max Drawdown	-9.45%	-1.47%
Longest DD Days	278	120
Volatility (ann.)	10.16%	2.01%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.46	4.38
Skew	-1.34	3.4
Kurtosis	13.35	84.68
Expected Daily	0.02%	0.03%
Expected Monthly	0.34%	0.5%
Expected Yearly	2.9%	4.26%
Kelly Criterion	13.52%	61.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.03%	-0.18%
Expected Shortfall (cVaR)	-1.03%	-0.18%
Max Consecutive Wins	7	282
Max Consecutive Losses	5	15
Gain/Pain Ratio	0.1	3.99
Gain/Pain (1M)	0.64	11.45
Payoff Ratio	1.2	0.55
Profit Factor	1.1	4.99
Common Sense Ratio	1.33	253.8
CPC Index	0.7	2.37
Tail Ratio	1.2	50.82
Outlier Win Ratio	2.1	20.88
Outlier Loss Ratio	1.46	12.33
MTD	-1.66%	-0.86%
3M	-1.13%	-0.92%
6M	0.41%	-0.51%
YTD	0.92%	0.5%
1Y	3.95%	2.93%
3Y (ann.)	4.37%	6.44%
5Y (ann.)	4.37%	6.44%
10Y (ann.)	4.37%	6.44%
All-time (ann.)	4.37%	6.44%
Best Day	2.45%	1.6%
Worst Day	-5.57%	-1.07%
Best Month	4.36%	1.75%
Worst Month	-7.25%	-0.86%
Best Year	8.15%	10.09%
Worst Year	-0.18%	0.5%
Avg. Drawdown	-1.07%	-0.23%
Avg. Drawdown Days	14	20
Recovery Factor	0.95	9.05
Ulcer Index	0.02	0.0
Serenity Index	0.24	11.91
Avg. Up Month	1.93%	0.78%
Avg. Down Month	-0.84%	-0.31%
Win Days	52.91%	86.23%
Win Month	52.0%	80.0%
Win Quarter	66.67%	77.78%
Win Year	66.67%	100.0%
Beta	0.17	-
Alpha	0.04	-
Correlation	3.29%	-
Treynor Ratio	11.74%	-