TITR RUB[Strategy] vs Deposit RUB[Benchmark]

20 May, 2024 - 21 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	-33.43%	10.8%
CAGR﹪	-55.2%	22.42%
Sharpe	-2.69	57.84
Prob. Sharpe Ratio	2.47%	-
Smart Sharpe	-2.47	53.1
Sortino	-3.36	-
Smart Sortino	-3.08	-
Sortino/√2	-2.37	-
Smart Sortino/√2	-2.18	-
Omega	0.63	0.63
Max Drawdown	-33.63%	-
Longest DD Days	-	-
Volatility (ann.)	27.22%	0.34%
R^2	0.0	0.0
Information Ratio	-0.21	-0.21
Calmar	-1.64	-
Skew	-0.11	1.02
Kurtosis	1.28	1.61
Expected Daily	-0.31%	0.08%
Expected Monthly	-5.65%	1.48%
Expected Yearly	-33.43%	10.8%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.11%	-0.04%
Expected Shortfall (cVaR)	-3.11%	-0.04%
Max Consecutive Wins	5	132
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.37	-
Gain/Pain (1M)	-0.88	-
Payoff Ratio	-	-
Profit Factor	0.63	-
Common Sense Ratio	0.6	-
CPC Index	-	-
Tail Ratio	0.95	2.04
Outlier Win Ratio	1.81	26.27
Outlier Loss Ratio	1.27	-
MTD	-1.76%	1.74%
3M	-14.78%	5.61%
6M	-33.43%	10.8%
YTD	-33.43%	10.8%
1Y	-33.43%	10.8%
3Y (ann.)	-55.2%	22.42%
5Y (ann.)	-55.2%	22.42%
10Y (ann.)	-55.2%	22.42%
All-time (ann.)	-55.2%	22.42%
Best Day	4.19%	0.13%
Worst Day	-6.83%	0.0%
Best Month	4.92%	1.74%
Worst Month	-11.38%	1.14%
Best Year	-33.43%	10.8%
Worst Year	-33.43%	10.8%
Avg. Drawdown	-16.87%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.99	-
Ulcer Index	0.22	0.0
Serenity Index	-0.07	-
Avg. Up Month	4.92%	1.56%
Avg. Down Month	-	-
Win Days	42.52%	100.0%
Win Month	14.29%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-2.1	-
Alpha	-0.32	-
Correlation	-2.6%	-
Treynor Ratio	15.9%	-