TBIO RUB[Strategy] vs Deposit RUB[Benchmark]

7 Sep, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-17.54%	3.71%
CAGR﹪	-33.74%	8.09%
Sharpe	-1.61	97.45
Prob. Sharpe Ratio	13.32%	100.0%
Smart Sharpe	-1.41	85.47
Sortino	-2.08	-
Smart Sortino	-1.83	-
Sortino/√2	-1.47	-
Smart Sortino/√2	-1.29	-
Omega	0.77	0.77
Max Drawdown	-22.88%	-
Longest DD Days	-	-
Volatility (ann.)	23.42%	0.08%
R^2	0.0	0.0
Information Ratio	-0.12	-0.12
Calmar	-1.47	-
Skew	-0.06	-1.15
Kurtosis	0.48	11.32
Expected Daily	-0.16%	0.03%
Expected Monthly	-3.16%	0.61%
Expected Yearly	-9.19%	1.84%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.58%	-0.02%
Expected Shortfall (cVaR)	-2.58%	-0.02%
Max Consecutive Wins	6	119
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.23	-
Gain/Pain (1M)	-0.86	-
Payoff Ratio	-	-
Profit Factor	0.77	-
Common Sense Ratio	0.73	-
CPC Index	-	-
Tail Ratio	0.95	1.49
Outlier Win Ratio	1.82	57.86
Outlier Loss Ratio	1.28	-
MTD	2.18%	0.71%
3M	-7.74%	2.13%
6M	-17.54%	3.71%
YTD	-7.72%	1.36%
1Y	-17.54%	3.71%
3Y (ann.)	-33.74%	8.09%
5Y (ann.)	-33.74%	8.09%
10Y (ann.)	-33.74%	8.09%
All-time (ann.)	-33.74%	8.09%
Best Day	3.98%	0.04%
Worst Day	-4.66%	0.0%
Best Month	2.18%	0.71%
Worst Month	-9.69%	0.5%
Best Year	-7.72%	2.32%
Worst Year	-10.64%	1.36%
Avg. Drawdown	-22.88%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.77	-
Ulcer Index	0.14	0.0
Serenity Index	-0.08	-
Avg. Up Month	1.16%	0.65%
Avg. Down Month	-	-
Win Days	51.26%	100.0%
Win Month	33.33%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	11.75	-
Alpha	-1.28	-
Correlation	3.94%	-
Treynor Ratio	-1.49%	-