TBEU[Strategy] vs RUB Inflation[Benchmark]

23 Nov, 2021 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	100.0%
Cumulative Return	26.99%	15.8%
CAGR﹪	6.07%	3.68%
Sharpe	0.5	14.54
Prob. Sharpe Ratio	75.15%	100.0%
Smart Sharpe	0.47	13.82
Sortino	0.64	49.59
Smart Sortino	0.6	47.13
Sortino/√2	0.45	35.06
Smart Sortino/√2	0.43	33.33
Omega	1.23	1.23
Max Drawdown	-52.16%	-1.25%
Longest DD Days	798	195
Volatility (ann.)	40.8%	0.43%
R^2	0.01	0.01
Information Ratio	0.02	0.02
Calmar	0.12	2.94
Skew	-6.17	0.75
Kurtosis	209.95	3.91
Expected Daily	0.04%	0.02%
Expected Monthly	0.8%	0.49%
Expected Yearly	4.89%	2.98%
Kelly Criterion	-65.48%	77.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.15%	-0.02%
Expected Shortfall (cVaR)	-4.15%	-0.02%
Max Consecutive Wins	6	371
Max Consecutive Losses	5	55
Gain/Pain Ratio	0.23	8.82
Gain/Pain (1M)	0.65	8.82
Payoff Ratio	0.37	1.4
Profit Factor	1.23	9.82
Common Sense Ratio	1.44	26.79
CPC Index	0.25	11.95
Tail Ratio	1.18	2.73
Outlier Win Ratio	2.85	64.68
Outlier Loss Ratio	1.92	77.52
MTD	0.59%	0.21%
3M	3.73%	1.34%
6M	8.54%	1.77%
YTD	15.1%	5.48%
1Y	18.55%	6.37%
3Y (ann.)	21.18%	3.67%
5Y (ann.)	6.07%	3.68%
10Y (ann.)	6.07%	3.68%
All-time (ann.)	6.07%	3.68%
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%	5.48%
Worst Year	-28.47%	1.3%
Avg. Drawdown	-1.49%	-0.83%
Avg. Drawdown Days	19	129
Recovery Factor	0.52	12.59
Ulcer Index	0.23	0.0
Serenity Index	0.07	1.2
Avg. Up Month	4.41%	0.63%
Avg. Down Month	-27.32%	-0.43%
Win Days	55.15%	87.05%
Win Month	83.33%	86.67%
Win Quarter	91.67%	83.33%
Win Year	80.0%	100.0%
Beta	6.75	-
Alpha	-0.22	-
Correlation	7.15%	-
Treynor Ratio	4.0%	-