TBEU[Strategy] vs RUB Inflation[Benchmark]

23 Nov, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	24.27%	14.73%
CAGR﹪	5.73%	3.58%
Sharpe	0.49	14.11
Prob. Sharpe Ratio	74.26%	100.0%
Smart Sharpe	0.47	13.41
Sortino	0.63	48.12
Smart Sortino	0.6	45.76
Sortino/√2	0.44	34.03
Smart Sortino/√2	0.42	32.36
Omega	1.22	1.22
Max Drawdown	-52.16%	-1.25%
Longest DD Days	798	195
Volatility (ann.)	42.25%	0.45%
R^2	0.01	0.01
Information Ratio	0.02	0.02
Calmar	0.11	2.86
Skew	-5.97	0.71
Kurtosis	196.03	3.42
Expected Daily	0.04%	0.03%
Expected Monthly	0.78%	0.49%
Expected Yearly	4.44%	2.79%
Kelly Criterion	-61.41%	76.34%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.3%	-0.02%
Expected Shortfall (cVaR)	-4.3%	-0.02%
Max Consecutive Wins	6	371
Max Consecutive Losses	5	55
Gain/Pain Ratio	0.22	8.26
Gain/Pain (1M)	0.62	8.26
Payoff Ratio	0.39	1.42
Profit Factor	1.22	9.26
Common Sense Ratio	1.51	25.27
CPC Index	0.26	11.35
Tail Ratio	1.24	2.73
Outlier Win Ratio	2.81	66.01
Outlier Loss Ratio	1.94	81.41
MTD	0.7%	0.2%
3M	4.68%	0.41%
6M	8.86%	1.53%
YTD	12.64%	4.51%
1Y	17.64%	7.79%
3Y (ann.)	29.51%	3.78%
5Y (ann.)	5.73%	3.58%
10Y (ann.)	5.73%	3.58%
All-time (ann.)	5.73%	3.58%
Best Day	32.08%	0.16%
Worst Day	-45.56%	-0.03%
Best Month	31.46%	1.43%
Worst Month	-51.26%	-0.52%
Best Year	39.58%	4.51%
Worst Year	-28.47%	1.3%
Avg. Drawdown	-1.65%	-0.83%
Avg. Drawdown Days	22	130
Recovery Factor	0.47	11.74
Ulcer Index	0.24	0.0
Serenity Index	0.06	1.08
Avg. Up Month	4.72%	0.65%
Avg. Down Month	-27.32%	-0.43%
Win Days	54.95%	86.11%
Win Month	82.14%	85.71%
Win Quarter	91.67%	83.33%
Win Year	80.0%	100.0%
Beta	6.74	-
Alpha	-0.22	-
Correlation	7.15%	-
Treynor Ratio	3.6%	-