TBRU RUB[Strategy] vs MCFTR RUB[Benchmark]

14 Jul, 2021 - 17 Sep, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	84.0%	98.0%
Cumulative Return	0.92%	5.79%
CAGR%	5.23%	37.06%
Sharpe	4.32	2.56
Sortino	7.98	3.84
Max Drawdown	-0.18%	-3.35%
Longest DD Days	11	21
Volatility (ann.)	1.11%	11.84%
R^2	0.01	0.01
Calmar	29.57	11.1
Skew	0.17	-0.53
Kurtosis	0.73	0.18
Expected Daily %	0.02%	0.12%
Expected Monthly %	0.3%	1.9%
Expected Yearly %	0.92%	5.79%
Kelly Criterion	38.61%	34.41%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.1%	-1.11%
Expected Shortfall (cVaR)	-0.12%	-0.12%
Payoff Ratio	1.87	1.4
Profit Factor	1.1	0.48
Common Sense Ratio	1.58	0.69
CPC Index	1.23	0.41
Tail Ratio	1.43	1.44
Outlier Win Ratio	14.15	1.29
Outlier Loss Ratio	18.73	1.44
MTD	0.14%	3.19%
3M	0.92%	5.79%
6M	0.92%	5.79%
YTD	0.92%	5.79%
1Y	0.92%	5.79%
3Y (ann.)	5.25%	37.21%
5Y (ann.)	5.25%	37.21%
10Y (ann.)	5.25%	37.21%
All-time (ann.)	5.25%	37.21%
Best Day	0.22%	1.4%
Worst Day	-0.14%	-1.81%
Best Month	0.44%	3.89%
Worst Month	0.14%	-1.31%
Best Year	0.92%	5.79%
Worst Year	0.92%	5.79%
Avg. Drawdown	-0.08%	-1.47%
Avg. Drawdown Days	4	8
Recovery Factor	5.16	1.73
Ulcer Index	inf	inf
Avg. Up Month	0.29%	3.54%
Avg. Down Month	nan%	nan%
Win Days %	60.0%	61.7%
Win Month %	100.0%	66.67%
Win Quarter %	100.0%	100.0%
Win Year %	100.0%	100.0%
Beta	0.01	-
Alpha	0.04	-