TITR RUB[Strategy] vs Deposit RUB[Benchmark]

20 May, 2024 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	-48.96%	41.13%
CAGR﹪	-29.23%	19.38%
Sharpe	-1.34	79.92
Prob. Sharpe Ratio	3.26%	100.0%
Smart Sharpe	-1.21	72.32
Sortino	-1.81	-
Smart Sortino	-1.64	-
Sortino/√2	-1.28	-
Smart Sortino/√2	-1.16	-
Omega	0.79	0.79
Max Drawdown	-49.31%	-
Longest DD Days	-	-
Volatility (ann.)	23.5%	0.22%
R^2	0.0	0.0
Information Ratio	-0.13	-0.13
Calmar	-0.59	-
Skew	0.34	0.9
Kurtosis	3.67	4.08
Expected Daily	-0.14%	0.07%
Expected Monthly	-2.76%	1.45%
Expected Yearly	-20.08%	12.17%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.56%	-0.05%
Expected Shortfall (cVaR)	-2.56%	-0.05%
Max Consecutive Wins	6	494
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.21	-
Gain/Pain (1M)	-0.61	-
Payoff Ratio	-	-
Profit Factor	0.79	-
Common Sense Ratio	0.71	-
CPC Index	-	-
Tail Ratio	0.89	1.74
Outlier Win Ratio	2.05	28.73
Outlier Loss Ratio	1.51	-
MTD	-6.04%	1.12%
3M	-10.16%	3.46%
6M	-4.29%	7.55%
YTD	-6.22%	4.71%
1Y	-19.47%	16.87%
3Y (ann.)	-29.23%	19.38%
5Y (ann.)	-29.23%	19.38%
10Y (ann.)	-29.23%	19.38%
All-time (ann.)	-29.23%	19.38%
Best Day	8.94%	0.13%
Worst Day	-6.83%	0.0%
Best Month	11.95%	1.83%
Worst Month	-12.69%	1.12%
Best Year	-6.22%	19.38%
Worst Year	-29.15%	4.71%
Avg. Drawdown	-24.7%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.99	-
Ulcer Index	0.35	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.78%	1.43%
Avg. Down Month	-	-
Win Days	47.03%	100.0%
Win Month	41.67%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.53	-
Alpha	-0.41	-
Correlation	0.5%	-
Treynor Ratio	-91.95%	-