TBEU[Strategy] vs RUB Inflation[Benchmark]

23 Nov, 2021 - 24 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	89.0%	100.0%
Cumulative Return	39.45%	21.89%
CAGR﹪	7.25%	4.25%
Sharpe	0.52	15.49
Prob. Sharpe Ratio	78.68%	100.0%
Smart Sharpe	0.5	14.69
Sortino	0.67	58.88
Smart Sortino	0.64	55.82
Sortino/√2	0.47	41.63
Smart Sortino/√2	0.45	39.47
Omega	1.25	1.25
Max Drawdown	-52.16%	-1.25%
Longest DD Days	798	195
Volatility (ann.)	36.0%	0.42%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.14	3.39
Skew	-6.93	0.88
Kurtosis	268.25	3.67
Expected Daily	0.04%	0.03%
Expected Monthly	0.88%	0.52%
Expected Yearly	5.7%	3.35%
Kelly Criterion	-84.2%	82.82%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.66%	-0.02%
Expected Shortfall (cVaR)	-3.66%	-0.02%
Max Consecutive Wins	6	371
Max Consecutive Losses	5	55
Gain/Pain Ratio	0.25	11.91
Gain/Pain (1M)	0.78	11.91
Payoff Ratio	0.32	1.4
Profit Factor	1.25	12.91
Common Sense Ratio	1.52	45.74
CPC Index	0.22	16.22
Tail Ratio	1.22	3.54
Outlier Win Ratio	3.0	58.77
Outlier Loss Ratio	2.15	74.74
MTD	0.71%	0.38%
3M	3.1%	1.84%
6M	6.6%	2.88%
YTD	9.07%	5.15%
1Y	14.72%	6.72%
3Y (ann.)	32.67%	7.56%
5Y (ann.)	7.25%	4.25%
10Y (ann.)	7.25%	4.25%
All-time (ann.)	7.25%	4.25%
Best Day	32.08%	0.16%
Worst Day	-45.56%	-0.03%
Best Month	31.46%	1.62%
Worst Month	-51.26%	-0.52%
Best Year	39.58%	5.6%
Worst Year	-28.47%	1.3%
Avg. Drawdown	-1.11%	-0.83%
Avg. Drawdown Days	14	129
Recovery Factor	0.76	17.45
Ulcer Index	0.2	0.0
Serenity Index	0.11	2.12
Avg. Up Month	3.57%	0.64%
Avg. Down Month	-27.32%	-0.43%
Win Days	55.52%	89.99%
Win Month	86.84%	89.47%
Win Quarter	93.33%	86.67%
Win Year	83.33%	100.0%
Beta	5.53	-
Alpha	-0.17	-
Correlation	6.51%	-
Treynor Ratio	7.14%	-