TBRU[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2021 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	16.5%	27.92%
CAGR﹪	5.63%	9.24%
Sharpe	0.47	1.99
Prob. Sharpe Ratio	76.15%	100.0%
Smart Sharpe	0.36	1.52
Sortino	0.61	95.65
Smart Sortino	0.47	73.27
Sortino/√2	0.43	67.64
Smart Sortino/√2	0.33	51.81
Omega	1.21	1.21
Max Drawdown	-22.71%	-1.25%
Longest DD Days	358	209
Volatility (ann.)	14.01%	4.61%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.25	7.36
Skew	-5.22	25.95
Kurtosis	221.08	677.2
Expected Daily	0.02%	0.04%
Expected Monthly	0.45%	0.73%
Expected Yearly	3.89%	6.35%
Kelly Criterion	21.81%	84.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.42%	-0.44%
Expected Shortfall (cVaR)	-1.42%	-0.44%
Max Consecutive Wins	10	419
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.21	19.72
Gain/Pain (1M)	0.91	19.72
Payoff Ratio	1.18	1.47
Profit Factor	1.21	20.72
Common Sense Ratio	1.38	72.0
CPC Index	0.82	27.49
Tail Ratio	1.14	3.47
Outlier Win Ratio	3.11	17.92
Outlier Loss Ratio	1.73	31.07
MTD	0.17%	0.35%
3M	2.28%	1.68%
6M	5.42%	4.43%
YTD	2.64%	2.3%
1Y	7.59%	7.77%
3Y (ann.)	5.63%	9.24%
5Y (ann.)	5.63%	9.24%
10Y (ann.)	5.63%	9.24%
All-time (ann.)	5.63%	9.24%
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%	2.3%
Avg. Drawdown	-0.97%	-1.25%
Avg. Drawdown Days	18	209
Recovery Factor	0.73	22.25
Ulcer Index	0.03	0.0
Serenity Index	0.65	26.84
Avg. Up Month	1.38%	0.6%
Avg. Down Month	-	-
Win Days	57.6%	90.5%
Win Month	70.59%	91.18%
Win Quarter	83.33%	91.67%
Win Year	75.0%	100.0%
Beta	-0.14	-
Alpha	0.08	-
Correlation	-4.5%	-
Treynor Ratio	-120.8%	-