TBRU RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2021 - 13 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	60.58%	82.57%
CAGR﹪	10.67%	13.75%
Sharpe	0.95	16.94
Prob. Sharpe Ratio	94.75%	99.52%
Smart Sharpe	0.75	13.39
Sortino	1.26	-
Smart Sortino	0.99	-
Sortino/√2	0.89	-
Smart Sortino/√2	0.7	-
Omega	1.36	1.36
Max Drawdown	-22.71%	-
Longest DD Days	-	-
Volatility (ann.)	11.47%	0.77%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.47	-
Skew	-5.57	25.54
Kurtosis	288.71	790.5
Expected Daily	0.04%	0.05%
Expected Monthly	0.83%	1.06%
Expected Yearly	8.21%	10.55%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.15%	-0.03%
Expected Shortfall (cVaR)	-1.15%	-0.03%
Max Consecutive Wins	13	1167
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.36	-
Gain/Pain (1M)	2.04	-
Payoff Ratio	-	-
Profit Factor	1.36	-
Common Sense Ratio	1.74	-
CPC Index	-	-
Tail Ratio	1.28	3.49
Outlier Win Ratio	2.78	13.41
Outlier Loss Ratio	1.52	-
MTD	1.39%	1.16%
3M	4.95%	4.3%
6M	7.91%	8.39%
YTD	3.87%	3.58%
1Y	26.57%	18.65%
3Y (ann.)	14.54%	16.97%
5Y (ann.)	10.67%	13.75%
10Y (ann.)	10.67%	13.75%
All-time (ann.)	10.67%	13.75%
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	-0.82%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.67	-
Ulcer Index	0.03	0.0
Serenity Index	2.95	-
Avg. Up Month	1.81%	1.08%
Avg. Down Month	-	-
Win Days	58.46%	100.0%
Win Month	73.68%	100.0%
Win Quarter	84.21%	100.0%
Win Year	83.33%	100.0%
Beta	-0.36	-
Alpha	0.16	-
Correlation	-2.37%	-
Treynor Ratio	-170.59%	-