TBRU[Strategy] vs RUB Inflation[Benchmark]

12 Jul, 2021 - 29 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	85.0%	100.0%
Cumulative Return	12.91%	34.17%
CAGR﹪	3.65%	9.07%
Sharpe	0.35	2.14
Prob. Sharpe Ratio	72.43%	100.0%
Smart Sharpe	0.27	1.65
Sortino	0.45	102.91
Smart Sortino	0.35	79.55
Sortino/√2	0.32	72.77
Smart Sortino/√2	0.25	56.25
Omega	1.14	1.14
Max Drawdown	-22.71%	-1.25%
Longest DD Days	358	209
Volatility (ann.)	12.82%	4.17%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.16	7.23
Skew	-5.52	28.72
Kurtosis	256.52	829.77
Expected Daily	0.01%	0.03%
Expected Monthly	0.3%	0.72%
Expected Yearly	3.08%	7.62%
Kelly Criterion	18.44%	87.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.31%	-0.4%
Expected Shortfall (cVaR)	-1.31%	-0.4%
Max Consecutive Wins	10	574
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.14	23.5
Gain/Pain (1M)	0.61	23.5
Payoff Ratio	1.16	1.49
Profit Factor	1.14	24.5
Common Sense Ratio	1.25	69.23
CPC Index	0.74	33.7
Tail Ratio	1.1	2.83
Outlier Win Ratio	3.0	17.31
Outlier Loss Ratio	1.67	29.34
MTD	-1.57%	0.68%
3M	-3.74%	1.95%
6M	-2.25%	4.07%
YTD	-0.53%	7.29%
1Y	1.25%	8.18%
3Y (ann.)	4.34%	9.14%
5Y (ann.)	3.65%	9.07%
10Y (ann.)	3.65%	9.07%
All-time (ann.)	3.65%	9.07%
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%	4.01%
Avg. Drawdown	-0.98%	-1.25%
Avg. Drawdown Days	19	209
Recovery Factor	0.57	27.23
Ulcer Index	0.03	0.0
Serenity Index	0.53	36.61
Avg. Up Month	1.28%	0.61%
Avg. Down Month	-	-
Win Days	56.18%	92.25%
Win Month	65.85%	92.68%
Win Quarter	71.43%	92.86%
Win Year	50.0%	100.0%
Beta	-0.14	-
Alpha	0.06	-
Correlation	-4.41%	-
Treynor Ratio	-95.16%	-