TBRU RUB[Strategy] vs Deposit RUB[Benchmark]

12 Jul, 2021 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	32.06%	60.61%
CAGR﹪	7.42%	12.97%
Sharpe	0.65	14.83
Prob. Sharpe Ratio	86.56%	99.45%
Smart Sharpe	0.51	11.69
Sortino	0.85	-
Smart Sortino	0.67	-
Sortino/√2	0.6	-
Smart Sortino/√2	0.48	-
Omega	1.25	1.25
Max Drawdown	-22.71%	-
Longest DD Days	-	-
Volatility (ann.)	12.31%	0.83%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.33	-
Skew	-5.38	24.45
Kurtosis	261.31	701.14
Expected Daily	0.03%	0.05%
Expected Monthly	0.59%	1.01%
Expected Yearly	5.72%	9.94%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.24%	-0.04%
Expected Shortfall (cVaR)	-1.24%	-0.04%
Max Consecutive Wins	12	970
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.25	-
Gain/Pain (1M)	1.26	-
Payoff Ratio	-	-
Profit Factor	1.25	-
Common Sense Ratio	1.58	-
CPC Index	-	-
Tail Ratio	1.26	3.49
Outlier Win Ratio	3.14	15.93
Outlier Loss Ratio	1.51	-
MTD	1.85%	1.63%
3M	6.43%	5.14%
6M	16.96%	10.76%
YTD	10.33%	8.79%
1Y	14.53%	21.58%
3Y (ann.)	11.51%	14.18%
5Y (ann.)	7.42%	12.97%
10Y (ann.)	7.42%	12.97%
All-time (ann.)	7.42%	12.97%
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	10.33%	18.74%
Worst Year	-0.62%	3.32%
Avg. Drawdown	-0.92%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.41	-
Ulcer Index	0.03	0.0
Serenity Index	1.4	-
Avg. Up Month	1.69%	1.02%
Avg. Down Month	-	-
Win Days	56.81%	100.0%
Win Month	70.21%	100.0%
Win Quarter	81.25%	100.0%
Win Year	80.0%	100.0%
Beta	-0.45	-
Alpha	0.14	-
Correlation	-3.04%	-
Treynor Ratio	-70.96%	-