TBRU RUB[Strategy] vs MCFTR RUB[Benchmark]

16 Jul, 2021 - 19 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	84.0%	100.0%
Cumulative Return	53.42%	2.42%
CAGR﹪	10.14%	0.54%
Sharpe	-16.87	-6.7
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-13.29	-5.28
Sortino	-12.27	-6.87
Smart Sortino	-9.67	-5.42
Sortino/√2	-8.68	-4.86
Smart Sortino/√2	-6.84	-3.83
Omega	0.03	0.03
Max Drawdown	-22.71%	-53.53%
Longest DD Days	362	1215
Volatility (ann.)	11.76%	30.34%
R^2	0.37	0.37
Information Ratio	0.01	0.01
Calmar	0.45	0.01
Skew	-5.46	-3.94
Kurtosis	276.55	95.91
Expected Daily	0.04%	0.0%
Expected Monthly	0.8%	0.04%
Expected Yearly	8.94%	0.48%
Kelly Criterion	11.82%	-10.27%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.18%	-3.12%
Expected Shortfall (cVaR)	-1.18%	-3.12%
Max Consecutive Wins	13	9
Max Consecutive Losses	9	14
Gain/Pain Ratio	0.34	0.04
Gain/Pain (1M)	1.85	0.18
Payoff Ratio	0.89	0.71
Profit Factor	1.34	1.04
Common Sense Ratio	1.72	0.99
CPC Index	0.7	0.4
Tail Ratio	1.28	0.95
Outlier Win Ratio	10.31	2.57
Outlier Loss Ratio	7.15	2.18
MTD	0.79%	2.5%
3M	3.09%	-1.07%
6M	12.12%	2.38%
YTD	28.0%	1.91%
1Y	38.38%	21.97%
3Y (ann.)	13.64%	16.43%
5Y (ann.)	10.14%	0.54%
10Y (ann.)	10.14%	0.54%
All-time (ann.)	10.14%	0.54%
Best Day	12.33%	20.04%
Worst Day	-16.17%	-33.28%
Best Month	6.64%	15.56%
Worst Month	-10.09%	-30.02%
Best Year	28.0%	53.84%
Worst Year	-0.48%	-37.26%
Avg. Drawdown	-0.89%	-6.32%
Avg. Drawdown Days	15	113
Recovery Factor	2.35	0.05
Ulcer Index	0.03	0.25
Serenity Index	-30.58	-1.17
Avg. Up Month	1.66%	5.15%
Avg. Down Month	-2.67%	-10.92%
Win Days	58.47%	54.26%
Win Month	72.22%	59.26%
Win Quarter	83.33%	55.56%
Win Year	80.0%	80.0%
Beta	0.23	-
Alpha	0.09	-
Correlation	60.6%	-
Treynor Ratio	-2753.77%	-