TBRU RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2021 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	53.2%	74.6%
CAGR﹪	10.17%	13.49%
Sharpe	0.89	16.28
Prob. Sharpe Ratio	93.42%	99.46%
Smart Sharpe	0.7	12.85
Sortino	1.17	-
Smart Sortino	0.93	-
Sortino/√2	0.83	-
Smart Sortino/√2	0.66	-
Omega	1.34	1.34
Max Drawdown	-22.71%	-
Longest DD Days	-	-
Volatility (ann.)	11.75%	0.78%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.45	-
Skew	-5.47	25.59
Kurtosis	276.88	778.34
Expected Daily	0.04%	0.05%
Expected Monthly	0.79%	1.04%
Expected Yearly	8.91%	11.79%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.18%	-0.03%
Expected Shortfall (cVaR)	-1.18%	-0.03%
Max Consecutive Wins	13	1104
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.34	-
Gain/Pain (1M)	1.85	-
Payoff Ratio	-	-
Profit Factor	1.34	-
Common Sense Ratio	1.72	-
CPC Index	-	-
Tail Ratio	1.28	3.49
Outlier Win Ratio	2.83	14.09
Outlier Loss Ratio	1.49	-
MTD	0.79%	0.32%
3M	3.36%	4.02%
6M	13.61%	8.47%
YTD	28.0%	18.26%
1Y	35.69%	20.11%
3Y (ann.)	13.54%	16.04%
5Y (ann.)	10.17%	13.49%
10Y (ann.)	10.17%	13.49%
All-time (ann.)	10.17%	13.49%
Best Day	12.33%	1.55%
Worst Day	-16.17%	0.0%
Best Month	6.64%	1.83%
Worst Month	-10.09%	0.32%
Best Year	28.0%	18.74%
Worst Year	-0.62%	3.32%
Avg. Drawdown	-0.87%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.34	-
Ulcer Index	0.03	0.0
Serenity Index	2.52	-
Avg. Up Month	1.82%	1.04%
Avg. Down Month	-	-
Win Days	58.4%	100.0%
Win Month	72.22%	100.0%
Win Quarter	83.33%	100.0%
Win Year	80.0%	100.0%
Beta	-0.39	-
Alpha	0.15	-
Correlation	-2.57%	-
Treynor Ratio	-137.88%	-