TBRU RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2021 - 2 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	85.0%	100.0%
Cumulative Return	13.31%	45.09%
CAGR﹪	3.75%	11.59%
Sharpe	0.36	12.87
Prob. Sharpe Ratio	72.86%	99.25%
Smart Sharpe	0.28	9.95
Sortino	0.46	-
Smart Sortino	0.36	-
Sortino/√2	0.33	-
Smart Sortino/√2	0.25	-
Omega	1.14	1.14
Max Drawdown	-22.71%	-
Longest DD Days	-	-
Volatility (ann.)	12.81%	0.87%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.17	-
Skew	-5.52	24.92
Kurtosis	256.73	686.19
Expected Daily	0.01%	0.04%
Expected Monthly	0.3%	0.89%
Expected Yearly	3.17%	9.75%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.31%	-0.05%
Expected Shortfall (cVaR)	-1.31%	-0.05%
Max Consecutive Wins	10	840
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.14	-
Gain/Pain (1M)	0.62	-
Payoff Ratio	-	-
Profit Factor	1.14	-
Common Sense Ratio	1.25	-
CPC Index	-	-
Tail Ratio	1.1	3.08
Outlier Win Ratio	3.02	15.72
Outlier Loss Ratio	1.6	-
MTD	0.35%	0.08%
3M	-3.07%	5.2%
6M	-1.22%	9.7%
YTD	-0.18%	16.69%
1Y	2.16%	18.06%
3Y (ann.)	4.6%	12.35%
5Y (ann.)	3.75%	11.59%
10Y (ann.)	3.75%	11.59%
All-time (ann.)	3.75%	11.59%
Best Day	12.33%	1.55%
Worst Day	-16.17%	0.0%
Best Month	6.64%	1.79%
Worst Month	-10.09%	0.08%
Best Year	7.6%	16.69%
Worst Year	-0.62%	3.32%
Avg. Drawdown	-0.98%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.59	-
Ulcer Index	0.03	0.0
Serenity Index	0.55	-
Avg. Up Month	1.44%	0.83%
Avg. Down Month	-	-
Win Days	56.24%	100.0%
Win Month	66.67%	100.0%
Win Quarter	71.43%	100.0%
Win Year	50.0%	100.0%
Beta	-0.64	-
Alpha	0.12	-
Correlation	-4.33%	-
Treynor Ratio	-20.8%	-