TBRU RUB[Strategy] vs MCFTR RUB[Benchmark]

16 Jul, 2021 - 11 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	85.0%	100.0%
Cumulative Return	39.83%	-4.56%
CAGR﹪	8.77%	-1.16%
Sharpe	-16.26	-6.58
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-12.81	-5.18
Sortino	-12.11	-6.77
Smart Sortino	-9.53	-5.33
Sortino/√2	-8.56	-4.79
Smart Sortino/√2	-6.74	-3.77
Omega	0.03	0.03
Max Drawdown	-22.71%	-53.53%
Longest DD Days	362	1215
Volatility (ann.)	12.27%	31.12%
R^2	0.38	0.38
Information Ratio	0.01	0.01
Calmar	0.39	-0.02
Skew	-5.35	-4.08
Kurtosis	260.23	96.68
Expected Daily	0.03%	-0.0%
Expected Monthly	0.69%	-0.1%
Expected Yearly	6.94%	-0.93%
Kelly Criterion	10.07%	-11.41%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-3.21%
Expected Shortfall (cVaR)	-1.23%	-3.21%
Max Consecutive Wins	12	9
Max Consecutive Losses	9	14
Gain/Pain Ratio	0.29	0.03
Gain/Pain (1M)	1.49	0.12
Payoff Ratio	0.89	0.69
Profit Factor	1.29	1.03
Common Sense Ratio	1.65	0.95
CPC Index	0.67	0.39
Tail Ratio	1.28	0.92
Outlier Win Ratio	10.27	2.61
Outlier Loss Ratio	7.22	2.17
MTD	1.6%	-6.46%
3M	10.24%	-1.41%
6M	15.7%	-3.52%
YTD	16.67%	-5.03%
1Y	21.32%	-2.51%
3Y (ann.)	11.94%	17.67%
5Y (ann.)	8.77%	-1.16%
10Y (ann.)	8.77%	-1.16%
All-time (ann.)	8.77%	-1.16%
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	16.67%	53.84%
Worst Year	-0.48%	-37.26%
Avg. Drawdown	-0.92%	-6.3%
Avg. Drawdown Days	16	102
Recovery Factor	1.75	-0.09
Ulcer Index	0.03	0.26
Serenity Index	-29.33	-1.12
Avg. Up Month	1.67%	5.19%
Avg. Down Month	-3.01%	-11.44%
Win Days	57.54%	54.6%
Win Month	71.43%	59.18%
Win Quarter	82.35%	52.94%
Win Year	80.0%	60.0%
Beta	0.24	-
Alpha	0.08	-
Correlation	61.55%	-
Treynor Ratio	-2720.88%	-