SUGB RUB[Strategy] vs SMCF RUB[Benchmark]

18 Feb, 2025 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	89.0%
Cumulative Return	3.46%	-3.53%
CAGR﹪	17.0%	-15.29%
Sharpe	0.99	-0.14
Prob. Sharpe Ratio	59.25%	30.64%
Smart Sharpe	0.7	-0.1
Sortino	1.66	-0.22
Smart Sortino	1.17	-0.15
Sortino/√2	1.17	-0.15
Smart Sortino/√2	0.83	-0.11
Omega	1.17	1.17
Max Drawdown	-3.18%	-16.5%
Longest DD Days	50	42
Volatility (ann.)	10.73%	57.82%
R^2	0.16	0.16
Information Ratio	0.02	0.02
Calmar	5.35	-0.93
Skew	0.65	0.97
Kurtosis	0.42	20.73
Expected Daily	0.07%	-0.07%
Expected Monthly	0.85%	-0.89%
Expected Yearly	3.46%	-3.53%
Kelly Criterion	13.67%	2.44%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-6.0%
Expected Shortfall (cVaR)	-1.04%	-6.0%
Max Consecutive Wins	3	4
Max Consecutive Losses	6	4
Gain/Pain Ratio	0.3	-0.01
Gain/Pain (1M)	-	-0.06
Payoff Ratio	1.6	1.0
Profit Factor	1.3	0.99
Common Sense Ratio	1.74	0.84
CPC Index	0.98	0.51
Tail Ratio	1.33	0.85
Outlier Win Ratio	10.78	5.5
Outlier Loss Ratio	12.53	3.55
MTD	0.53%	-5.18%
3M	3.46%	-3.53%
6M	3.46%	-3.53%
YTD	3.46%	-3.53%
1Y	3.46%	-3.53%
3Y (ann.)	17.0%	-15.29%
5Y (ann.)	17.0%	-15.29%
10Y (ann.)	17.0%	-15.29%
All-time (ann.)	17.0%	-15.29%
Best Day	2.04%	18.59%
Worst Day	-1.16%	-16.07%
Best Month	1.78%	1.28%
Worst Month	0.24%	-5.18%
Best Year	3.46%	-3.53%
Worst Year	3.46%	-3.53%
Avg. Drawdown	-1.1%	-5.46%
Avg. Drawdown Days	9	14
Recovery Factor	1.09	-0.21
Ulcer Index	0.01	0.03
Serenity Index	-0.6	-2.22
Avg. Up Month	0.96%	0.58%
Avg. Down Month	-	-
Win Days	46.94%	51.11%
Win Month	100.0%	75.0%
Win Quarter	100.0%	50.0%
Win Year	100.0%	0.0%
Beta	0.07	-
Alpha	0.17	-
Correlation	39.93%	-
Treynor Ratio	-47.83%	-