SUGB RUB[Strategy] vs TOFZ RUB[Benchmark]

13 Dec, 2024 - 10 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	95.0%
Cumulative Return	12.96%	14.3%
CAGR﹪	35.06%	39.04%
Sharpe	2.05	1.9
Prob. Sharpe Ratio	85.4%	79.81%
Smart Sharpe	1.82	1.69
Sortino	3.81	3.24
Smart Sortino	3.39	2.88
Sortino/√2	2.7	2.29
Smart Sortino/√2	2.4	2.04
Omega	1.44	1.44
Max Drawdown	-3.18%	-7.57%
Longest DD Days	52	51
Volatility (ann.)	11.73%	14.34%
R^2	0.16	0.16
Information Ratio	-0.01	-0.01
Calmar	11.04	5.16
Skew	1.13	0.6
Kurtosis	3.1	2.1
Expected Daily	0.12%	0.13%
Expected Monthly	2.05%	2.25%
Expected Yearly	6.28%	6.91%
Kelly Criterion	28.84%	12.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.09%	-1.35%
Expected Shortfall (cVaR)	-1.09%	-1.35%
Max Consecutive Wins	6	6
Max Consecutive Losses	4	5
Gain/Pain Ratio	0.6	0.51
Gain/Pain (1M)	-	6.15
Payoff Ratio	2.06	1.09
Profit Factor	1.6	1.51
Common Sense Ratio	2.12	2.34
CPC Index	1.72	0.9
Tail Ratio	1.32	1.55
Outlier Win Ratio	4.68	3.96
Outlier Loss Ratio	3.38	2.5
MTD	0.53%	-0.26%
3M	5.08%	6.33%
6M	12.96%	14.3%
YTD	6.56%	5.75%
1Y	12.96%	14.3%
3Y (ann.)	35.06%	39.04%
5Y (ann.)	35.06%	39.04%
10Y (ann.)	35.06%	39.04%
All-time (ann.)	35.06%	39.04%
Best Day	3.13%	3.34%
Worst Day	-1.51%	-2.49%
Best Month	6.0%	8.09%
Worst Month	0.24%	-1.55%
Best Year	6.56%	8.09%
Worst Year	6.0%	5.75%
Avg. Drawdown	-1.09%	-1.69%
Avg. Drawdown Days	10	13
Recovery Factor	4.08	1.89
Ulcer Index	0.01	0.03
Serenity Index	1.48	0.31
Avg. Up Month	3.27%	5.39%
Avg. Down Month	-	-
Win Days	52.08%	54.17%
Win Month	100.0%	50.0%
Win Quarter	100.0%	66.67%
Win Year	100.0%	100.0%
Beta	0.32	-
Alpha	0.2	-
Correlation	39.6%	-
Treynor Ratio	18.4%	-