TFNX RUB[Strategy] vs Deposit RUB[Benchmark]

15 Nov, 2021 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-26.91%	13.23%
CAGR﹪	-15.57%	6.94%
Sharpe	-0.17	13.09
Prob. Sharpe Ratio	41.66%	99.11%
Smart Sharpe	-0.17	12.76
Sortino	-0.2	-
Smart Sortino	-0.2	-
Sortino/√2	-0.14	-
Smart Sortino/√2	-0.14	-
Omega	0.96	0.96
Max Drawdown	-62.39%	-
Longest DD Days	-	-
Volatility (ann.)	48.51%	0.67%
R^2	0.47	0.47
Information Ratio	-0.02	-0.02
Calmar	-0.25	-
Skew	-6.17	18.07
Kurtosis	79.95	335.92
Expected Daily	-0.09%	0.03%
Expected Monthly	-1.64%	0.66%
Expected Yearly	-9.92%	4.23%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.06%	-0.03%
Expected Shortfall (cVaR)	-5.06%	-0.03%
Max Consecutive Wins	11	355
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.04	-
Gain/Pain (1M)	-0.11	-
Payoff Ratio	-	-
Profit Factor	0.96	-
Common Sense Ratio	0.95	-
CPC Index	-	-
Tail Ratio	0.99	2.02
Outlier Win Ratio	1.76	80.63
Outlier Loss Ratio	1.41	-
MTD	-6.54%	0.81%
3M	12.08%	2.52%
6M	32.52%	3.63%
YTD	48.43%	4.99%
1Y	60.25%	7.14%
3Y (ann.)	-15.57%	6.94%
5Y (ann.)	-15.57%	6.94%
10Y (ann.)	-15.57%	6.94%
All-time (ann.)	-15.57%	6.94%
Best Day	9.64%	0.82%
Worst Day	-39.7%	0.0%
Best Month	29.6%	0.82%
Worst Month	-39.7%	0.55%
Best Year	48.43%	6.57%
Worst Year	-46.24%	1.2%
Avg. Drawdown	-62.39%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.43	-
Ulcer Index	0.42	0.0
Serenity Index	-0.03	-
Avg. Up Month	11.17%	0.66%
Avg. Down Month	-	-
Win Days	51.87%	100.0%
Win Month	47.37%	100.0%
Win Quarter	62.5%	100.0%
Win Year	33.33%	100.0%
Beta	-49.32	-
Alpha	4.26	-
Correlation	-68.35%	-
Treynor Ratio	0.55%	-