TBRU RUB[Strategy] vs [Benchmark] TBRURX RUB

28 Jul, 2021 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	82.0%	5.0%
Cumulative Return	52.96%	65.44%
CAGR﹪	10.24%	12.24%
Sharpe	0.3	0.57
Prob. Sharpe Ratio	34.83%	68.17%
Smart Sharpe	0.25	0.46
Sortino	0.4	1.03
Smart Sortino	0.32	0.83
Sortino/√2	0.28	0.73
Smart Sortino/√2	0.23	0.59
Omega	1.1	1.1
Max Drawdown	-22.71%	-12.79%
Longest DD Days	358	304
Volatility (ann.)	11.71%	8.74%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.45	0.96
Skew	-5.48	1.03
Kurtosis	278.9	109.72
Expected Daily	0.04%	0.05%
Expected Monthly	0.79%	0.94%
Expected Yearly	8.87%	10.59%
Kelly Criterion	38.09%	61.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.17%	-0.86%
Expected Shortfall (cVaR)	-1.17%	-0.86%
Max Consecutive Wins	13	1
Max Consecutive Losses	9	1
Gain/Pain Ratio	0.34	2.36
Gain/Pain (1M)	1.84	2.36
Payoff Ratio	2.04	2.1
Profit Factor	1.34	3.36
Common Sense Ratio	1.71	-
CPC Index	1.6	5.22
Tail Ratio	1.28	-
Outlier Win Ratio	7.33	26.73
Outlier Loss Ratio	1.69	0.38
MTD	0.79%	3.09%
3M	3.36%	5.91%
6M	13.61%	19.07%
YTD	28.0%	43.26%
1Y	35.69%	43.26%
3Y (ann.)	13.54%	16.43%
5Y (ann.)	10.24%	12.24%
10Y (ann.)	10.24%	12.24%
All-time (ann.)	10.24%	12.24%
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	28.0%	43.26%
Worst Year	-0.78%	-0.78%
Avg. Drawdown	-0.89%	-3.51%
Avg. Drawdown Days	14	96
Recovery Factor	2.33	5.12
Ulcer Index	0.03	0.02
Serenity Index	2.11	2.88
Avg. Up Month	1.65%	1.96%
Avg. Down Month	-2.57%	-2.34%
Win Days	58.44%	74.07%
Win Month	72.22%	73.58%
Win Quarter	83.33%	83.33%
Win Year	80.0%	80.0%
Beta	0.03	-
Alpha	0.1	-
Correlation	1.92%	-
Treynor Ratio	1788.64%	-