TBRU RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2021 - 13 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	83.0%	100.0%
Cumulative Return	65.57%	85.52%
CAGR﹪	10.98%	13.62%
Sharpe	0.99	17.2
Prob. Sharpe Ratio	95.47%	99.45%
Smart Sharpe	0.78	13.59
Sortino	1.31	-
Smart Sortino	1.03	-
Sortino/√2	0.93	-
Smart Sortino/√2	0.73	-
Omega	1.38	1.38
Max Drawdown	-22.71%	-
Longest DD Days	-	-
Volatility (ann.)	11.27%	0.75%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.48	-
Skew	-5.66	26.63
Kurtosis	298.56	847.27
Expected Daily	0.04%	0.05%
Expected Monthly	0.86%	1.05%
Expected Yearly	8.77%	10.85%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.12%	-0.03%
Expected Shortfall (cVaR)	-1.12%	-0.03%
Max Consecutive Wins	13	1212
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.38	-
Gain/Pain (1M)	2.16	-
Payoff Ratio	-	-
Profit Factor	1.38	-
Common Sense Ratio	1.77	-
CPC Index	-	-
Tail Ratio	1.28	3.41
Outlier Win Ratio	2.8	13.36
Outlier Loss Ratio	1.52	-
MTD	0.48%	0.54%
3M	6.27%	3.42%
6M	9.21%	7.43%
YTD	7.1%	5.26%
1Y	26.14%	16.74%
3Y (ann.)	14.86%	17.12%
5Y (ann.)	10.98%	13.62%
10Y (ann.)	10.98%	13.62%
All-time (ann.)	10.98%	13.62%
Best Day	12.33%	1.55%
Worst Day	-16.17%	0.0%
Best Month	6.64%	1.83%
Worst Month	-10.09%	0.43%
Best Year	29.17%	19.38%
Worst Year	-0.62%	3.32%
Avg. Drawdown	-0.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.89	-
Ulcer Index	0.03	0.0
Serenity Index	3.26	-
Avg. Up Month	1.8%	1.06%
Avg. Down Month	-	-
Win Days	58.81%	100.0%
Win Month	74.58%	100.0%
Win Quarter	85.0%	100.0%
Win Year	83.33%	100.0%
Beta	-0.38	-
Alpha	0.16	-
Correlation	-2.54%	-
Treynor Ratio	-170.97%	-