TITR RUB[Strategy] vs Deposit RUB[Benchmark]

20 May, 2024 - 7 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-44.58%	31.74%
CAGR﹪	-33.09%	20.65%
Sharpe	-1.39	84.57
Prob. Sharpe Ratio	4.73%	100.0%
Smart Sharpe	-1.26	76.38
Sortino	-1.89	-
Smart Sortino	-1.71	-
Sortino/√2	-1.34	-
Smart Sortino/√2	-1.21	-
Omega	0.79	0.79
Max Drawdown	-48.02%	-
Longest DD Days	-	-
Volatility (ann.)	25.86%	0.22%
R^2	0.0	0.0
Information Ratio	-0.13	-0.13
Calmar	-0.69	-
Skew	0.37	0.81
Kurtosis	2.92	5.07
Expected Daily	-0.16%	0.07%
Expected Monthly	-3.06%	1.46%
Expected Yearly	-25.55%	14.78%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.82%	-0.05%
Expected Shortfall (cVaR)	-2.82%	-0.05%
Max Consecutive Wins	5	377
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.21	-
Gain/Pain (1M)	-0.62	-
Payoff Ratio	-	-
Profit Factor	0.79	-
Common Sense Ratio	0.76	-
CPC Index	-	-
Tail Ratio	0.96	1.6
Outlier Win Ratio	1.88	28.95
Outlier Loss Ratio	1.43	-
MTD	2.39%	0.28%
3M	-13.78%	3.97%
6M	-9.72%	8.75%
YTD	-21.77%	16.69%
1Y	-19.39%	20.56%
3Y (ann.)	-33.09%	20.65%
5Y (ann.)	-33.09%	20.65%
10Y (ann.)	-33.09%	20.65%
All-time (ann.)	-33.09%	20.65%
Best Day	8.94%	0.13%
Worst Day	-6.83%	0.0%
Best Month	11.95%	1.83%
Worst Month	-12.69%	0.28%
Best Year	-21.77%	16.69%
Worst Year	-29.15%	12.9%
Avg. Drawdown	-24.06%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.93	-
Ulcer Index	0.32	0.0
Serenity Index	-0.05	-
Avg. Up Month	4.54%	1.38%
Avg. Down Month	-	-
Win Days	46.87%	100.0%
Win Month	36.84%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.49	-
Alpha	-0.27	-
Correlation	-0.41%	-
Treynor Ratio	91.55%	-