TBRU RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2021 - 12 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	82.0%	100.0%
Cumulative Return	69.36%	95.59%
CAGR﹪	10.55%	13.62%
Sharpe	0.97	17.59
Prob. Sharpe Ratio	95.94%	99.46%
Smart Sharpe	0.77	13.96
Sortino	1.28	-
Smart Sortino	1.02	-
Sortino/√2	0.9	-
Smart Sortino/√2	0.72	-
Omega	1.36	1.36
Max Drawdown	-22.71%	-
Longest DD Days	-	-
Volatility (ann.)	10.77%	0.71%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.46	-
Skew	-5.78	27.88
Kurtosis	319.67	933.83
Expected Daily	0.04%	0.05%
Expected Monthly	0.83%	1.05%
Expected Yearly	9.18%	11.83%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-0.02%
Expected Shortfall (cVaR)	-1.08%	-0.02%
Max Consecutive Wins	13	1354
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.36	-
Gain/Pain (1M)	2.14	-
Payoff Ratio	-	-
Profit Factor	1.36	-
Common Sense Ratio	1.64	-
CPC Index	-	-
Tail Ratio	1.21	3.3
Outlier Win Ratio	2.84	13.51
Outlier Loss Ratio	1.49	-
MTD	0.35%	0.48%
3M	3.16%	3.37%
6M	3.79%	6.74%
YTD	9.55%	10.97%
1Y	14.57%	14.8%
3Y (ann.)	15.49%	17.59%
5Y (ann.)	11.39%	14.09%
10Y (ann.)	10.55%	13.62%
All-time (ann.)	10.55%	13.62%
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	-0.77%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.05	-
Ulcer Index	0.03	0.0
Serenity Index	3.59	-
Avg. Up Month	1.72%	1.06%
Avg. Down Month	-	-
Win Days	58.42%	100.0%
Win Month	75.0%	100.0%
Win Quarter	86.36%	100.0%
Win Year	83.33%	100.0%
Beta	-0.36	-
Alpha	0.15	-
Correlation	-2.4%	-
Treynor Ratio	-190.24%	-