TBRU[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2021 - 11 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	39.04%	42.51%
CAGR﹪	8.59%	9.26%
Sharpe	0.74	2.35
Prob. Sharpe Ratio	89.5%	99.98%
Smart Sharpe	0.59	1.86
Sortino	0.98	113.5
Smart Sortino	0.77	89.54
Sortino/√2	0.69	80.26
Smart Sortino/√2	0.55	63.32
Omega	1.29	1.29
Max Drawdown	-22.71%	-1.25%
Longest DD Days	358	209
Volatility (ann.)	12.2%	3.82%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.38	7.38
Skew	-5.37	31.26
Kurtosis	262.96	984.69
Expected Daily	0.03%	0.04%
Expected Monthly	0.67%	0.73%
Expected Yearly	6.81%	7.34%
Kelly Criterion	24.27%	89.35%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-0.36%
Expected Shortfall (cVaR)	-1.23%	-0.36%
Max Consecutive Wins	12	734
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.29	28.28
Gain/Pain (1M)	1.47	28.28
Payoff Ratio	1.3	1.57
Profit Factor	1.29	29.28
Common Sense Ratio	1.65	113.37
CPC Index	0.96	42.96
Tail Ratio	1.28	3.87
Outlier Win Ratio	2.94	18.72
Outlier Loss Ratio	1.56	28.14
MTD	1.16%	0.15%
3M	9.76%	1.17%
6M	15.21%	3.75%
YTD	16.17%	4.06%
1Y	20.8%	9.29%
3Y (ann.)	11.78%	7.56%
5Y (ann.)	8.59%	9.26%
10Y (ann.)	8.59%	9.26%
All-time (ann.)	8.59%	9.26%
Best Day	12.33%	7.61%
Worst Day	-16.17%	-0.02%
Best Month	6.64%	7.61%
Worst Month	-10.09%	-0.52%
Best Year	16.17%	11.92%
Worst Year	-0.62%	4.01%
Avg. Drawdown	-0.9%	-1.25%
Avg. Drawdown Days	15	209
Recovery Factor	1.72	33.88
Ulcer Index	0.03	0.0
Serenity Index	1.74	50.04
Avg. Up Month	1.62%	0.62%
Avg. Down Month	-	-
Win Days	57.21%	93.49%
Win Month	71.43%	93.88%
Win Quarter	82.35%	94.12%
Win Year	80.0%	100.0%
Beta	-0.14	-
Alpha	0.1	-
Correlation	-4.26%	-
Treynor Ratio	-286.81%	-