TBRU[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2021 - 11 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	100.0%
Cumulative Return	59.59%	50.75%
CAGR﹪	10.54%	9.2%
Sharpe	0.94	2.52
Prob. Sharpe Ratio	94.59%	99.93%
Smart Sharpe	0.74	1.99
Sortino	1.24	106.44
Smart Sortino	0.98	84.13
Sortino/√2	0.88	75.27
Smart Sortino/√2	0.69	59.49
Omega	1.36	1.36
Max Drawdown	-22.71%	-1.25%
Longest DD Days	358	209
Volatility (ann.)	11.48%	3.55%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.46	7.33
Skew	-5.56	33.53
Kurtosis	288.34	1138.16
Expected Daily	0.04%	0.04%
Expected Monthly	0.82%	0.72%
Expected Yearly	8.1%	7.08%
Kelly Criterion	27.58%	88.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.15%	-0.33%
Expected Shortfall (cVaR)	-1.15%	-0.33%
Max Consecutive Wins	13	748
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.36	24.85
Gain/Pain (1M)	2.01	24.85
Payoff Ratio	1.35	1.65
Profit Factor	1.36	25.85
Common Sense Ratio	1.74	102.44
CPC Index	1.07	39.6
Tail Ratio	1.28	3.96
Outlier Win Ratio	2.8	17.46
Outlier Loss Ratio	1.59	28.21
MTD	0.76%	0.76%
3M	4.71%	4.46%
6M	6.81%	5.77%
YTD	3.23%	4.25%
1Y	25.2%	7.67%
3Y (ann.)	14.3%	8.6%
5Y (ann.)	10.54%	9.2%
10Y (ann.)	10.54%	9.2%
All-time (ann.)	10.54%	9.2%
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	29.17%	11.92%
Worst Year	-0.62%	4.01%
Avg. Drawdown	-0.82%	-0.83%
Avg. Drawdown Days	13	136
Recovery Factor	2.62	40.45
Ulcer Index	0.03	0.0
Serenity Index	2.9	63.23
Avg. Up Month	1.68%	0.68%
Avg. Down Month	-	-
Win Days	58.38%	92.62%
Win Month	73.68%	92.98%
Win Quarter	84.21%	94.74%
Win Year	83.33%	100.0%
Beta	-0.14	-
Alpha	0.12	-
Correlation	-4.22%	-
Treynor Ratio	-436.26%	-