TITR RUB[Strategy] vs Deposit RUB[Benchmark]

20 May, 2024 - 26 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-45.67%	34.79%
CAGR﹪	-31.66%	20.48%
Sharpe	-1.37	86.81
Prob. Sharpe Ratio	4.3%	100.0%
Smart Sharpe	-1.23	78.43
Sortino	-1.86	-
Smart Sortino	-1.68	-
Sortino/√2	-1.31	-
Smart Sortino/√2	-1.19	-
Omega	0.79	0.79
Max Drawdown	-48.02%	-
Longest DD Days	-	-
Volatility (ann.)	24.96%	0.21%
R^2	0.0	0.0
Information Ratio	-0.13	-0.13
Calmar	-0.66	-
Skew	0.37	0.97
Kurtosis	3.25	5.64
Expected Daily	-0.15%	0.07%
Expected Monthly	-3.0%	1.5%
Expected Yearly	-26.29%	16.1%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.72%	-0.05%
Expected Shortfall (cVaR)	-2.72%	-0.05%
Max Consecutive Wins	5	412
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.21	-
Gain/Pain (1M)	-0.65	-
Payoff Ratio	-	-
Profit Factor	0.79	-
Common Sense Ratio	0.74	-
CPC Index	-	-
Tail Ratio	0.93	1.6
Outlier Win Ratio	1.94	28.83
Outlier Loss Ratio	1.47	-
MTD	0.18%	1.28%
3M	-7.93%	4.1%
6M	-12.36%	8.36%
YTD	-23.31%	19.39%
1Y	-18.02%	19.78%
3Y (ann.)	-31.66%	20.48%
5Y (ann.)	-31.66%	20.48%
10Y (ann.)	-31.66%	20.48%
All-time (ann.)	-31.66%	20.48%
Best Day	8.94%	0.13%
Worst Day	-6.83%	0.0%
Best Month	11.95%	1.83%
Worst Month	-12.69%	1.14%
Best Year	-23.31%	19.39%
Worst Year	-29.15%	12.9%
Avg. Drawdown	-24.06%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.95	-
Ulcer Index	0.33	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.72%	1.49%
Avg. Down Month	-	-
Win Days	46.23%	100.0%
Win Month	40.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.45	-
Alpha	-0.26	-
Correlation	-0.38%	-
Treynor Ratio	101.39%	-