TBRU[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2021 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	85.0%	100.0%
Cumulative Return	26.07%	41.17%
CAGR﹪	6.41%	9.68%
Sharpe	0.57	2.38
Prob. Sharpe Ratio	83.29%	99.98%
Smart Sharpe	0.45	1.88
Sortino	0.74	114.76
Smart Sortino	0.59	90.72
Sortino/√2	0.53	81.15
Smart Sortino/√2	0.42	64.15
Omega	1.22	1.22
Max Drawdown	-22.71%	-1.25%
Longest DD Days	358	209
Volatility (ann.)	12.5%	3.97%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.28	7.71
Skew	-5.37	30.1
Kurtosis	257.63	913.03
Expected Daily	0.02%	0.04%
Expected Monthly	0.5%	0.75%
Expected Yearly	4.74%	7.14%
Kelly Criterion	21.57%	88.72%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.27%	-0.37%
Expected Shortfall (cVaR)	-1.27%	-0.37%
Max Consecutive Wins	12	661
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.22	27.53
Gain/Pain (1M)	1.03	27.53
Payoff Ratio	1.25	1.65
Profit Factor	1.22	28.53
Common Sense Ratio	1.49	110.47
CPC Index	0.86	43.74
Tail Ratio	1.22	3.87
Outlier Win Ratio	3.33	19.51
Outlier Loss Ratio	1.6	28.25
MTD	-0.78%	0.16%
3M	4.81%	3.02%
6M	7.67%	6.63%
YTD	5.33%	3.08%
1Y	8.78%	10.67%
3Y (ann.)	11.17%	6.91%
5Y (ann.)	6.41%	9.68%
10Y (ann.)	6.41%	9.68%
All-time (ann.)	6.41%	9.68%
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	7.6%	11.92%
Worst Year	-0.62%	3.08%
Avg. Drawdown	-0.99%	-1.25%
Avg. Drawdown Days	18	209
Recovery Factor	1.15	32.81
Ulcer Index	0.03	0.0
Serenity Index	1.11	46.52
Avg. Up Month	1.53%	0.67%
Avg. Down Month	-	-
Win Days	56.45%	92.98%
Win Month	67.39%	93.48%
Win Quarter	75.0%	93.75%
Win Year	80.0%	100.0%
Beta	-0.13	-
Alpha	0.08	-
Correlation	-4.25%	-
Treynor Ratio	-194.77%	-