SUGB RUB[Strategy] vs SBCB RUB[Benchmark]

25 Sep, 2020 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	99.0%
Cumulative Return	23.95%	5.99%
CAGR﹪	4.76%	1.27%
Sharpe	0.14	-0.04
Prob. Sharpe Ratio	13.95%	6.25%
Smart Sharpe	0.1	-0.03
Sortino	0.31	-0.07
Smart Sortino	0.23	-0.05
Sortino/√2	0.22	-0.05
Smart Sortino/√2	0.16	-0.04
Omega	1.04	1.04
Max Drawdown	-9.84%	-23.18%
Longest DD Days	1067	1254
Volatility (ann.)	14.35%	26.75%
R^2	0.27	0.27
Information Ratio	0.01	0.01
Calmar	0.48	0.05
Skew	13.4	3.72
Kurtosis	290.52	79.1
Expected Daily	0.03%	0.01%
Expected Monthly	0.6%	0.16%
Expected Yearly	3.64%	0.97%
Kelly Criterion	9.29%	-0.9%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.45%	-2.75%
Expected Shortfall (cVaR)	-1.45%	-2.75%
Max Consecutive Wins	7	8
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.2	0.05
Gain/Pain (1M)	1.26	0.28
Payoff Ratio	1.16	1.08
Profit Factor	1.2	1.05
Common Sense Ratio	1.23	1.01
CPC Index	0.71	0.54
Tail Ratio	1.02	0.96
Outlier Win Ratio	7.28	3.03
Outlier Loss Ratio	6.04	2.75
MTD	0.53%	4.51%
3M	5.08%	-4.39%
6M	14.47%	5.28%
YTD	6.56%	-9.29%
1Y	12.25%	4.39%
3Y (ann.)	24.33%	23.33%
5Y (ann.)	4.76%	1.27%
10Y (ann.)	4.76%	1.27%
All-time (ann.)	4.76%	1.27%
Best Day	19.16%	24.17%
Worst Day	-5.57%	-16.39%
Best Month	22.49%	23.84%
Worst Month	-7.25%	-17.25%
Best Year	22.49%	23.84%
Worst Year	-8.86%	-17.42%
Avg. Drawdown	-1.09%	-10.73%
Avg. Drawdown Days	57	238
Recovery Factor	2.43	0.26
Ulcer Index	0.02	0.08
Serenity Index	3.19	-0.02
Avg. Up Month	3.0%	4.97%
Avg. Down Month	-1.37%	-3.04%
Win Days	51.38%	47.65%
Win Month	55.56%	44.44%
Win Quarter	50.0%	42.86%
Win Year	66.67%	33.33%
Beta	0.28	-
Alpha	0.07	-
Correlation	52.23%	-
Treynor Ratio	60.47%	-