TBRU RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	49.01%	71.81%
CAGR﹪	9.79%	13.52%
Sharpe	0.85	15.99
Prob. Sharpe Ratio	92.48%	99.5%
Smart Sharpe	0.67	12.64
Sortino	1.12	-
Smart Sortino	0.89	-
Sortino/√2	0.79	-
Smart Sortino/√2	0.63	-
Omega	1.33	1.33
Max Drawdown	-22.71%	-
Longest DD Days	-	-
Volatility (ann.)	11.89%	0.8%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.43	-
Skew	-5.44	24.84
Kurtosis	272.61	739.78
Expected Daily	0.04%	0.05%
Expected Monthly	0.77%	1.05%
Expected Yearly	8.3%	11.43%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.19%	-0.03%
Expected Shortfall (cVaR)	-1.19%	-0.03%
Max Consecutive Wins	13	1069
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.33	-
Gain/Pain (1M)	1.73	-
Payoff Ratio	-	-
Profit Factor	1.33	-
Common Sense Ratio	1.7	-
CPC Index	-	-
Tail Ratio	1.28	3.49
Outlier Win Ratio	2.91	14.38
Outlier Loss Ratio	1.49	-
MTD	1.08%	1.29%
3M	5.21%	4.62%
6M	16.54%	9.53%
YTD	24.5%	16.38%
1Y	27.69%	21.61%
3Y (ann.)	13.24%	15.81%
5Y (ann.)	9.79%	13.52%
10Y (ann.)	9.79%	13.52%
All-time (ann.)	9.79%	13.52%
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	24.5%	18.74%
Worst Year	-0.62%	3.32%
Avg. Drawdown	-0.91%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.16	-
Ulcer Index	0.03	0.0
Serenity Index	2.27	-
Avg. Up Month	1.85%	1.06%
Avg. Down Month	-	-
Win Days	58.32%	100.0%
Win Month	71.15%	100.0%
Win Quarter	83.33%	100.0%
Win Year	80.0%	100.0%
Beta	-0.38	-
Alpha	0.15	-
Correlation	-2.55%	-
Treynor Ratio	-128.96%	-