TITR RUB[Strategy] vs Deposit RUB[Benchmark]

20 May, 2024 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-56.12%	47.93%
CAGR﹪	-29.97%	18.45%
Sharpe	-1.36	72.25
Prob. Sharpe Ratio	2.05%	100.0%
Smart Sharpe	-1.24	66.13
Sortino	-1.84	-
Smart Sortino	-1.68	-
Sortino/√2	-1.3	-
Smart Sortino/√2	-1.19	-
Omega	0.79	0.79
Max Drawdown	-61.21%	-
Longest DD Days	-	-
Volatility (ann.)	23.84%	0.23%
R^2	0.0	0.0
Information Ratio	-0.13	-0.13
Calmar	-0.49	-
Skew	0.3	0.89
Kurtosis	3.05	2.83
Expected Daily	-0.14%	0.07%
Expected Monthly	-2.8%	1.36%
Expected Yearly	-24.01%	13.94%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.6%	-0.04%
Expected Shortfall (cVaR)	-2.6%	-0.04%
Max Consecutive Wins	6	588
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.21	-
Gain/Pain (1M)	-0.65	-
Payoff Ratio	-	-
Profit Factor	0.79	-
Common Sense Ratio	0.75	-
CPC Index	-	-
Tail Ratio	0.94	1.76
Outlier Win Ratio	2.0	30.07
Outlier Loss Ratio	1.56	-
MTD	1.85%	0.46%
3M	-6.57%	3.3%
6M	-22.36%	6.8%
YTD	-19.38%	9.75%
1Y	-32.98%	14.98%
3Y (ann.)	-29.97%	18.45%
5Y (ann.)	-29.97%	18.45%
10Y (ann.)	-29.97%	18.45%
All-time (ann.)	-29.97%	18.45%
Best Day	8.94%	0.13%
Worst Day	-6.83%	0.0%
Best Month	11.95%	1.83%
Worst Month	-12.69%	0.46%
Best Year	-19.38%	19.38%
Worst Year	-29.15%	9.75%
Avg. Drawdown	-30.65%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.92	-
Ulcer Index	0.39	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.33%	1.32%
Avg. Down Month	-	-
Win Days	46.06%	100.0%
Win Month	41.38%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.51	-
Alpha	-0.41	-
Correlation	0.5%	-
Treynor Ratio	-108.99%	-