TBRU RUB[Strategy] vs [Benchmark] TBRURX RUB

28 Jul, 2021 - 30 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	83.0%	5.0%
Cumulative Return	44.0%	50.17%
CAGR﹪	9.52%	10.68%
Sharpe	0.25	0.42
Prob. Sharpe Ratio	30.56%	56.18%
Smart Sharpe	0.2	0.34
Sortino	0.32	0.72
Smart Sortino	0.26	0.58
Sortino/√2	0.23	0.51
Smart Sortino/√2	0.18	0.41
Omega	1.09	1.09
Max Drawdown	-22.71%	-12.79%
Longest DD Days	358	304
Volatility (ann.)	12.09%	8.73%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.42	0.83
Skew	-5.42	0.6
Kurtosis	267.6	116.56
Expected Daily	0.04%	0.04%
Expected Monthly	0.75%	0.83%
Expected Yearly	7.56%	8.47%
Kelly Criterion	35.81%	57.85%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.21%	-0.86%
Expected Shortfall (cVaR)	-1.21%	-0.86%
Max Consecutive Wins	13	1
Max Consecutive Losses	9	1
Gain/Pain Ratio	0.32	1.91
Gain/Pain (1M)	1.61	1.91
Payoff Ratio	1.91	2.1
Profit Factor	1.32	2.91
Common Sense Ratio	1.68	-
CPC Index	1.45	4.37
Tail Ratio	1.28	-
Outlier Win Ratio	7.32	28.33
Outlier Loss Ratio	1.83	0.41
MTD	4.93%	8.08%
3M	10.72%	14.24%
6M	18.91%	22.33%
YTD	20.5%	30.03%
1Y	24.01%	27.38%
3Y (ann.)	13.49%	13.88%
5Y (ann.)	9.52%	10.68%
10Y (ann.)	9.52%	10.68%
All-time (ann.)	9.52%	10.68%
Best Day	12.33%	6.3%
Worst Day	-16.17%	-8.94%
Best Month	6.64%	8.08%
Worst Month	-10.09%	-8.94%
Best Year	20.5%	30.03%
Worst Year	-0.78%	-0.78%
Avg. Drawdown	-0.91%	-3.51%
Avg. Drawdown Days	15	96
Recovery Factor	1.94	3.92
Ulcer Index	0.03	0.03
Serenity Index	1.61	1.94
Avg. Up Month	1.66%	2.04%
Avg. Down Month	-2.57%	-2.34%
Win Days	57.86%	71.43%
Win Month	71.43%	70.83%
Win Quarter	82.35%	82.35%
Win Year	80.0%	80.0%
Beta	0.03	-
Alpha	0.09	-
Correlation	1.95%	-
Treynor Ratio	1371.77%	-