TBRU RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

14 Jul, 2021 - 15 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	16.19%	26.56%
CAGR﹪	5.6%	8.92%
Sharpe	0.47	0.51
Prob. Sharpe Ratio	75.86%	80.29%
Smart Sharpe	0.36	0.39
Sortino	0.6	0.78
Smart Sortino	0.46	0.6
Sortino/√2	0.43	0.55
Smart Sortino/√2	0.33	0.42
Omega	1.2	1.2
Max Drawdown	-22.71%	-39.65%
Longest DD Days	358	488
Volatility (ann.)	14.1%	21.69%
R^2	0.03	0.03
Information Ratio	-0.01	-0.01
Calmar	0.25	0.23
Skew	-5.19	1.1
Kurtosis	218.26	13.99
Expected Daily	0.02%	0.03%
Expected Monthly	0.44%	0.7%
Expected Yearly	3.82%	6.07%
Kelly Criterion	13.58%	1.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.43%	-2.2%
Expected Shortfall (cVaR)	-1.43%	-2.2%
Max Consecutive Wins	10	9
Max Consecutive Losses	9	7
Gain/Pain Ratio	0.2	0.11
Gain/Pain (1M)	0.89	0.46
Payoff Ratio	0.96	0.95
Profit Factor	1.2	1.11
Common Sense Ratio	1.38	1.06
CPC Index	0.67	0.55
Tail Ratio	1.15	0.95
Outlier Win Ratio	11.11	3.22
Outlier Loss Ratio	6.68	2.84
MTD	-0.17%	1.37%
3M	1.57%	6.04%
6M	5.05%	-3.59%
YTD	2.28%	3.75%
1Y	7.42%	14.62%
3Y (ann.)	5.6%	8.92%
5Y (ann.)	5.6%	8.92%
10Y (ann.)	5.6%	8.92%
All-time (ann.)	5.6%	8.92%
Best Day	12.33%	10.7%
Worst Day	-16.17%	-6.67%
Best Month	6.64%	19.77%
Worst Month	-10.09%	-16.34%
Best Year	7.6%	29.27%
Worst Year	-0.54%	-6.4%
Avg. Drawdown	-0.96%	-5.0%
Avg. Drawdown Days	18	57
Recovery Factor	0.71	0.67
Ulcer Index	0.03	0.16
Serenity Index	0.63	0.08
Avg. Up Month	1.31%	4.95%
Avg. Down Month	-1.26%	-4.81%
Win Days	57.68%	51.79%
Win Month	67.65%	61.76%
Win Quarter	75.0%	75.0%
Win Year	75.0%	75.0%
Beta	-0.11	-
Alpha	0.08	-
Correlation	-16.37%	-
Treynor Ratio	-152.17%	-