TITR RUB[Strategy] vs Deposit RUB[Benchmark]

20 May, 2024 - 28 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%	48.85%
CAGR﹪	-29.47%	18.37%
Sharpe	-1.33	72.44
Prob. Sharpe Ratio	2.15%	100.0%
Smart Sharpe	-1.22	66.33
Sortino	-1.8	-
Smart Sortino	-1.65	-
Sortino/√2	-1.28	-
Smart Sortino/√2	-1.17	-
Omega	0.8	0.8
Max Drawdown	-61.21%	-
Longest DD Days	-	-
Volatility (ann.)	23.83%	0.23%
R^2	0.0	0.0
Information Ratio	-0.13	-0.13
Calmar	-0.48	-
Skew	0.3	0.92
Kurtosis	3.0	2.89
Expected Daily	-0.14%	0.07%
Expected Monthly	-2.8%	1.38%
Expected Yearly	-24.01%	14.18%
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	599
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.2	-
Gain/Pain (1M)	-0.65	-
Payoff Ratio	-	-
Profit Factor	0.8	-
Common Sense Ratio	0.76	-
CPC Index	-	-
Tail Ratio	0.95	1.76
Outlier Win Ratio	1.99	30.08
Outlier Loss Ratio	1.54	-
MTD	1.85%	1.08%
3M	2.08%	3.37%
6M	-18.78%	6.75%
YTD	-19.38%	10.44%
1Y	-26.13%	14.88%
3Y (ann.)	-29.47%	18.37%
5Y (ann.)	-29.47%	18.37%
10Y (ann.)	-29.47%	18.37%
All-time (ann.)	-29.47%	18.37%
Best Day	8.94%	0.13%
Worst Day	-6.83%	0.0%
Best Month	11.95%	1.83%
Worst Month	-12.69%	1.06%
Best Year	-19.38%	19.38%
Worst Year	-29.15%	10.44%
Avg. Drawdown	-30.65%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.92	-
Ulcer Index	0.4	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.33%	1.37%
Avg. Down Month	-	-
Win Days	46.22%	100.0%
Win Month	41.38%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.43	-
Alpha	-0.39	-
Correlation	0.42%	-
Treynor Ratio	-129.69%	-