TBRU RUB[Strategy] vs MCFTR RUB[Benchmark]

16 Jul, 2021 - 13 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	84.0%	100.0%
Cumulative Return	65.8%	3.76%
CAGR﹪	11.04%	0.77%
Sharpe	-17.44	-6.94
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-13.76	-5.48
Sortino	-12.43	-7.06
Smart Sortino	-9.8	-5.57
Sortino/√2	-8.79	-5.0
Smart Sortino/√2	-6.93	-3.94
Omega	0.03	0.03
Max Drawdown	-22.71%	-53.53%
Longest DD Days	362	1215
Volatility (ann.)	11.33%	29.3%
R^2	0.36	0.36
Information Ratio	0.02	0.02
Calmar	0.49	0.01
Skew	-5.63	-4.03
Kurtosis	295.49	101.62
Expected Daily	0.04%	0.0%
Expected Monthly	0.86%	0.06%
Expected Yearly	8.79%	0.62%
Kelly Criterion	13.8%	-11.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.13%	-3.01%
Expected Shortfall (cVaR)	-1.13%	-3.01%
Max Consecutive Wins	13	9
Max Consecutive Losses	9	14
Gain/Pain Ratio	0.38	0.04
Gain/Pain (1M)	2.16	0.18
Payoff Ratio	0.9	0.71
Profit Factor	1.38	1.04
Common Sense Ratio	1.76	1.0
CPC Index	0.74	0.4
Tail Ratio	1.28	0.96
Outlier Win Ratio	10.35	2.58
Outlier Loss Ratio	7.34	2.28
MTD	0.48%	2.33%
3M	6.27%	-1.32%
6M	9.21%	9.58%
YTD	7.1%	0.3%
1Y	26.14%	0.69%
3Y (ann.)	14.86%	7.53%
5Y (ann.)	11.04%	0.77%
10Y (ann.)	11.04%	0.77%
All-time (ann.)	11.04%	0.77%
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	29.17%	53.84%
Worst Year	-0.48%	-37.26%
Avg. Drawdown	-0.8%	-6.32%
Avg. Drawdown Days	13	123
Recovery Factor	2.9	0.07
Ulcer Index	0.03	0.24
Serenity Index	-31.39	-1.21
Avg. Up Month	1.62%	4.82%
Avg. Down Month	-2.67%	-10.92%
Win Days	59.1%	53.88%
Win Month	74.58%	59.32%
Win Quarter	85.0%	55.0%
Win Year	83.33%	83.33%
Beta	0.23	-
Alpha	0.1	-
Correlation	59.99%	-
Treynor Ratio	-2734.7%	-