TITR RUB[Strategy] vs Deposit RUB[Benchmark]

20 May, 2024 - 12 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	-43.58%	38.78%
CAGR﹪	-27.1%	19.84%
Sharpe	-1.19	86.66
Prob. Sharpe Ratio	5.73%	100.0%
Smart Sharpe	-1.07	78.11
Sortino	-1.62	-
Smart Sortino	-1.46	-
Sortino/√2	-1.14	-
Smart Sortino/√2	-1.03	-
Omega	0.82	0.82
Max Drawdown	-48.02%	-
Longest DD Days	-	-
Volatility (ann.)	24.01%	0.21%
R^2	0.0	0.0
Information Ratio	-0.12	-0.12
Calmar	-0.56	-
Skew	0.33	1.06
Kurtosis	3.55	5.55
Expected Daily	-0.12%	0.07%
Expected Monthly	-2.46%	1.44%
Expected Yearly	-17.37%	11.54%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.6%	-0.05%
Expected Shortfall (cVaR)	-2.6%	-0.05%
Max Consecutive Wins	6	459
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.18	-
Gain/Pain (1M)	-0.57	-
Payoff Ratio	-	-
Profit Factor	0.82	-
Common Sense Ratio	0.74	-
CPC Index	-	-
Tail Ratio	0.9	1.59
Outlier Win Ratio	2.02	28.57
Outlier Loss Ratio	1.5	-
MTD	-4.06%	0.55%
3M	2.16%	3.74%
6M	-12.63%	7.81%
YTD	3.66%	2.97%
1Y	-23.17%	18.04%
3Y (ann.)	-27.1%	19.84%
5Y (ann.)	-27.1%	19.84%
10Y (ann.)	-27.1%	19.84%
All-time (ann.)	-27.1%	19.84%
Best Day	8.94%	0.13%
Worst Day	-6.83%	0.0%
Best Month	11.95%	1.83%
Worst Month	-12.69%	0.55%
Best Year	3.66%	19.38%
Worst Year	-29.15%	2.97%
Avg. Drawdown	-24.06%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.91	-
Ulcer Index	0.34	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.78%	1.43%
Avg. Down Month	-	-
Win Days	47.5%	100.0%
Win Month	43.48%	100.0%
Win Quarter	12.5%	100.0%
Win Year	33.33%	100.0%
Beta	-1.16	-
Alpha	-0.08	-
Correlation	-1.0%	-
Treynor Ratio	37.51%	-