TCBR RUB[Strategy] vs Deposit RUB[Benchmark]

29 Oct, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-13.35%	16.5%
CAGR﹪	-6.88%	7.89%
Sharpe	0.06	12.8
Prob. Sharpe Ratio	53.02%	100.0%
Smart Sharpe	0.05	11.56
Sortino	0.07	-
Smart Sortino	0.07	-
Sortino/√2	0.05	-
Smart Sortino/√2	0.05	-
Omega	1.01	1.01
Max Drawdown	-48.59%	-
Longest DD Days	-	-
Volatility (ann.)	45.75%	0.73%
R^2	0.18	0.18
Information Ratio	-0.01	-0.01
Calmar	-0.14	-
Skew	-3.77	10.1
Kurtosis	44.16	105.66
Expected Daily	-0.03%	0.04%
Expected Monthly	-0.62%	0.67%
Expected Yearly	-4.66%	5.22%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.73%	-0.04%
Expected Shortfall (cVaR)	-4.73%	-0.04%
Max Consecutive Wins	8	413
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.01	-
Gain/Pain (1M)	0.04	-
Payoff Ratio	-	-
Profit Factor	1.01	-
Common Sense Ratio	1.09	-
CPC Index	-	-
Tail Ratio	1.08	1.84
Outlier Win Ratio	1.74	74.28
Outlier Loss Ratio	1.57	-
MTD	-18.52%	1.13%
3M	-20.72%	3.8%
6M	6.3%	5.9%
YTD	20.55%	7.97%
1Y	31.62%	9.33%
3Y (ann.)	-6.88%	7.89%
5Y (ann.)	-6.88%	7.89%
10Y (ann.)	-6.88%	7.89%
All-time (ann.)	-6.88%	7.89%
Best Day	13.17%	0.57%
Worst Day	-32.26%	0.0%
Best Month	22.05%	1.13%
Worst Month	-34.26%	0.0%
Best Year	20.55%	7.97%
Worst Year	-30.92%	1.25%
Avg. Drawdown	-12.56%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.27	-
Ulcer Index	0.27	0.0
Serenity Index	-0.03	-
Avg. Up Month	7.74%	0.67%
Avg. Down Month	-	-
Win Days	52.71%	100.0%
Win Month	63.64%	100.0%
Win Quarter	77.78%	100.0%
Win Year	66.67%	100.0%
Beta	-26.58	-
Alpha	2.5	-
Correlation	-42.22%	-
Treynor Ratio	0.5%	-