TBRU RUB[Strategy] vs [Benchmark] TBRURX RUB

28 Jul, 2021 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	85.0%	5.0%
Cumulative Return	16.31%	17.41%
CAGR﹪	5.66%	6.03%
Sharpe	-14.43	-23.8
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-11.32	-18.67
Sortino	-11.54	-13.86
Smart Sortino	-9.06	-10.87
Sortino/√2	-8.16	-9.8
Smart Sortino/√2	-6.4	-7.69
Omega	0.04	0.04
Max Drawdown	-22.71%	-12.79%
Longest DD Days	358	304
Volatility (ann.)	14.02%	8.51%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.25	0.47
Skew	-5.21	-3.06
Kurtosis	220.78	154.08
Expected Daily	0.02%	0.02%
Expected Monthly	0.45%	0.47%
Expected Yearly	3.85%	4.09%
Kelly Criterion	43.18%	58.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.43%	-0.86%
Expected Shortfall (cVaR)	-1.43%	-0.86%
Max Consecutive Wins	10	1
Max Consecutive Losses	9	1
Gain/Pain Ratio	0.2	0.95
Gain/Pain (1M)	0.91	0.95
Payoff Ratio	2.92	3.39
Profit Factor	1.2	1.95
Common Sense Ratio	1.38	-
CPC Index	2.03	4.46
Tail Ratio	1.14	-
Outlier Win Ratio	5.65	26.05
Outlier Loss Ratio	2.11	0.46
MTD	0.17%	1.17%
3M	2.28%	3.71%
6M	5.42%	5.49%
YTD	2.64%	4.91%
1Y	7.59%	8.48%
3Y (ann.)	5.66%	6.03%
5Y (ann.)	5.66%	6.03%
10Y (ann.)	5.66%	6.03%
All-time (ann.)	5.66%	6.03%
Best Day	12.33%	6.11%
Worst Day	-16.17%	-8.94%
Best Month	6.64%	6.11%
Worst Month	-10.09%	-8.94%
Best Year	7.6%	6.74%
Worst Year	-0.78%	-0.78%
Avg. Drawdown	-1.0%	-4.24%
Avg. Drawdown Days	18	122
Recovery Factor	0.72	1.36
Ulcer Index	0.03	0.03
Serenity Index	-25.79	-21.52
Avg. Up Month	1.32%	1.49%
Avg. Down Month	-2.78%	-2.3%
Win Days	57.66%	67.65%
Win Month	70.59%	66.67%
Win Quarter	83.33%	83.33%
Win Year	75.0%	75.0%
Beta	0.03	-
Alpha	0.06	-
Correlation	1.52%	-
Treynor Ratio	-27305.4%	-