TBRU RUB[Strategy] vs [Benchmark] TBRURX RUB

28 Jul, 2021 - 11 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	82.0%	5.0%
Cumulative Return	59.33%	73.35%
CAGR﹪	10.6%	12.64%
Sharpe	0.34	0.63
Prob. Sharpe Ratio	37.94%	73.01%
Smart Sharpe	0.28	0.51
Sortino	0.45	1.13
Smart Sortino	0.36	0.92
Sortino/√2	0.32	0.8
Smart Sortino/√2	0.25	0.65
Omega	1.12	1.12
Max Drawdown	-22.71%	-12.79%
Longest DD Days	358	304
Volatility (ann.)	11.43%	8.62%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.47	0.99
Skew	-5.58	1.11
Kurtosis	290.82	110.26
Expected Daily	0.04%	0.05%
Expected Monthly	0.82%	0.97%
Expected Yearly	8.07%	9.6%
Kelly Criterion	36.85%	63.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.14%	-0.84%
Expected Shortfall (cVaR)	-1.14%	-0.84%
Max Consecutive Wins	13	1
Max Consecutive Losses	9	1
Gain/Pain Ratio	0.36	2.57
Gain/Pain (1M)	2.0	2.57
Payoff Ratio	1.93	2.11
Profit Factor	1.36	3.57
Common Sense Ratio	1.74	-
CPC Index	1.53	5.65
Tail Ratio	1.28	-
Outlier Win Ratio	7.4	26.51
Outlier Loss Ratio	1.71	0.38
MTD	0.76%	0.0%
3M	4.71%	5.09%
6M	6.81%	10.98%
YTD	3.23%	5.09%
1Y	25.2%	35.03%
3Y (ann.)	14.3%	17.52%
5Y (ann.)	10.6%	12.64%
10Y (ann.)	10.6%	12.64%
All-time (ann.)	10.6%	12.64%
Best Day	12.33%	6.3%
Worst Day	-16.17%	-8.94%
Best Month	6.64%	6.3%
Worst Month	-10.09%	-8.94%
Best Year	29.17%	42.83%
Worst Year	-0.78%	-0.78%
Avg. Drawdown	-0.83%	-3.51%
Avg. Drawdown Days	13	96
Recovery Factor	2.61	5.73
Ulcer Index	0.03	0.02
Serenity Index	2.47	3.41
Avg. Up Month	1.65%	1.99%
Avg. Down Month	-2.57%	-2.34%
Win Days	58.42%	75.0%
Win Month	73.68%	74.55%
Win Quarter	84.21%	84.21%
Win Year	83.33%	83.33%
Beta	0.03	-
Alpha	0.1	-
Correlation	1.9%	-
Treynor Ratio	2079.92%	-