TBRU RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2021 - 10 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	55.4%	79.28%
CAGR﹪	10.09%	13.57%
Sharpe	0.9	16.71
Prob. Sharpe Ratio	93.86%	99.46%
Smart Sharpe	0.71	13.2
Sortino	1.19	-
Smart Sortino	0.94	-
Sortino/√2	0.84	-
Smart Sortino/√2	0.66	-
Omega	1.34	1.34
Max Drawdown	-22.71%	-
Longest DD Days	-	-
Volatility (ann.)	11.57%	0.77%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.44	-
Skew	-5.52	25.88
Kurtosis	284.46	800.11
Expected Daily	0.04%	0.05%
Expected Monthly	0.79%	1.05%
Expected Yearly	7.62%	10.22%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.16%	-0.03%
Expected Shortfall (cVaR)	-1.16%	-0.03%
Max Consecutive Wins	13	1145
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.34	-
Gain/Pain (1M)	1.9	-
Payoff Ratio	-	-
Profit Factor	1.34	-
Common Sense Ratio	1.72	-
CPC Index	-	-
Tail Ratio	1.28	3.49
Outlier Win Ratio	2.8	13.7
Outlier Loss Ratio	1.51	-
MTD	0.13%	0.5%
3M	2.77%	4.02%
6M	6.57%	8.06%
YTD	0.52%	1.72%
1Y	28.34%	18.79%
3Y (ann.)	13.93%	16.48%
5Y (ann.)	10.09%	13.57%
10Y (ann.)	10.09%	13.57%
All-time (ann.)	10.09%	13.57%
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%	1.72%
Avg. Drawdown	-0.85%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.44	-
Ulcer Index	0.03	0.0
Serenity Index	2.67	-
Avg. Up Month	1.77%	1.06%
Avg. Down Month	-	-
Win Days	58.2%	100.0%
Win Month	73.21%	100.0%
Win Quarter	84.21%	100.0%
Win Year	83.33%	100.0%
Beta	-0.39	-
Alpha	0.15	-
Correlation	-2.59%	-
Treynor Ratio	-142.4%	-