TBRU RUB[Strategy] vs [Benchmark] TBRURX RUB

28 Jul, 2021 - 28 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	82.0%	5.0%
Cumulative Return	64.11%	73.35%
CAGR﹪	10.98%	12.27%
Sharpe	0.37	0.59
Prob. Sharpe Ratio	40.63%	71.92%
Smart Sharpe	0.3	0.48
Sortino	0.49	1.08
Smart Sortino	0.39	0.87
Sortino/√2	0.35	0.76
Smart Sortino/√2	0.28	0.62
Omega	1.13	1.13
Max Drawdown	-22.71%	-12.79%
Longest DD Days	358	304
Volatility (ann.)	11.28%	8.5%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.48	0.96
Skew	-5.65	1.14
Kurtosis	298.14	113.48
Expected Daily	0.04%	0.05%
Expected Monthly	0.86%	0.95%
Expected Yearly	8.61%	9.6%
Kelly Criterion	37.43%	63.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.13%	-0.83%
Expected Shortfall (cVaR)	-1.13%	-0.83%
Max Consecutive Wins	13	1
Max Consecutive Losses	9	1
Gain/Pain Ratio	0.38	2.57
Gain/Pain (1M)	2.12	2.57
Payoff Ratio	1.93	2.11
Profit Factor	1.38	3.57
Common Sense Ratio	1.76	-
CPC Index	1.56	5.65
Tail Ratio	1.28	-
Outlier Win Ratio	7.39	26.94
Outlier Loss Ratio	1.7	0.37
MTD	1.48%	0.0%
3M	5.78%	3.56%
6M	11.05%	10.28%
YTD	6.32%	5.09%
1Y	26.77%	31.87%
3Y (ann.)	14.87%	17.11%
5Y (ann.)	10.98%	12.27%
10Y (ann.)	10.98%	12.27%
All-time (ann.)	10.98%	12.27%
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	-0.79%	-3.51%
Avg. Drawdown Days	13	96
Recovery Factor	2.82	5.73
Ulcer Index	0.03	0.02
Serenity Index	2.74	3.47
Avg. Up Month	1.65%	1.99%
Avg. Down Month	-2.57%	-2.34%
Win Days	58.81%	75.0%
Win Month	74.14%	74.55%
Win Quarter	85.0%	84.21%
Win Year	83.33%	83.33%
Beta	0.02	-
Alpha	0.11	-
Correlation	1.88%	-
Treynor Ratio	2289.2%	-