SUGB RUB[Strategy] vs TDIV RUB[Benchmark]

1 Dec, 2023 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	92.0%	96.0%
Cumulative Return	27.89%	2.87%
CAGR﹪	12.87%	1.4%
Sharpe	0.61	-0.15
Prob. Sharpe Ratio	62.42%	8.88%
Smart Sharpe	0.43	-0.11
Sortino	0.93	-0.22
Smart Sortino	0.65	-0.15
Sortino/√2	0.66	-0.16
Smart Sortino/√2	0.46	-0.11
Omega	1.11	1.11
Max Drawdown	-4.77%	-29.94%
Longest DD Days	352	574
Volatility (ann.)	9.39%	21.12%
R^2	0.03	0.03
Information Ratio	0.03	0.03
Calmar	2.7	0.05
Skew	0.45	0.63
Kurtosis	2.27	3.97
Expected Daily	0.05%	0.01%
Expected Monthly	0.99%	0.11%
Expected Yearly	8.55%	0.95%
Kelly Criterion	7.74%	-0.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.92%	-2.17%
Expected Shortfall (cVaR)	-0.92%	-2.17%
Max Consecutive Wins	6	8
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.26	0.03
Gain/Pain (1M)	3.93	0.13
Payoff Ratio	1.16	0.92
Profit Factor	1.26	1.03
Common Sense Ratio	1.42	1.02
CPC Index	0.73	0.49
Tail Ratio	1.13	0.99
Outlier Win Ratio	5.78	2.82
Outlier Loss Ratio	5.23	2.16
MTD	2.06%	1.11%
3M	2.95%	-5.64%
6M	10.38%	5.35%
YTD	21.36%	0.4%
1Y	28.88%	16.34%
3Y (ann.)	12.87%	1.4%
5Y (ann.)	12.87%	1.4%
10Y (ann.)	12.87%	1.4%
All-time (ann.)	12.87%	1.4%
Best Day	3.13%	8.47%
Worst Day	-2.32%	-4.14%
Best Month	7.42%	15.07%
Worst Month	-2.6%	-11.31%
Best Year	21.36%	2.66%
Worst Year	1.4%	-0.2%
Avg. Drawdown	-0.9%	-2.76%
Avg. Drawdown Days	18	40
Recovery Factor	5.85	0.1
Ulcer Index	0.02	0.14
Serenity Index	2.84	-0.02
Avg. Up Month	2.31%	4.08%
Avg. Down Month	-1.35%	-7.45%
Win Days	50.53%	51.82%
Win Month	68.0%	60.0%
Win Quarter	66.67%	66.67%
Win Year	100.0%	66.67%
Beta	0.08	-
Alpha	0.12	-
Correlation	17.67%	-
Treynor Ratio	266.0%	-