TITR[Strategy] vs RUB Inflation[Benchmark]

20 May, 2024 - 31 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-34.93%	11.1%
CAGR﹪	-30.15%	9.19%
Sharpe	-1.19	26.99
Prob. Sharpe Ratio	9.92%	-
Smart Sharpe	-1.08	24.54
Sortino	-1.64	-
Smart Sortino	-1.49	-
Sortino/√2	-1.16	-
Smart Sortino/√2	-1.05	-
Omega	0.82	0.82
Max Drawdown	-42.06%	-
Longest DD Days	-	-
Volatility (ann.)	26.71%	0.32%
R^2	0.0	0.0
Information Ratio	-0.1	-0.1
Calmar	-0.72	-
Skew	0.41	0.39
Kurtosis	2.96	-1.1
Expected Daily	-0.14%	0.03%
Expected Monthly	-2.82%	0.7%
Expected Yearly	-19.33%	5.4%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.89%	-0.0%
Expected Shortfall (cVaR)	-2.89%	-0.0%
Max Consecutive Wins	5	306
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.18	-
Gain/Pain (1M)	-0.56	-
Payoff Ratio	-	-
Profit Factor	0.82	-
Common Sense Ratio	0.77	-
CPC Index	-	-
Tail Ratio	0.94	7.45
Outlier Win Ratio	1.75	60.21
Outlier Loss Ratio	1.4	-
MTD	3.97%	0.23%
3M	2.67%	0.88%
6M	-13.49%	2.81%
YTD	-8.15%	4.01%
1Y	-20.63%	8.48%
3Y (ann.)	-30.15%	9.19%
5Y (ann.)	-30.15%	9.19%
10Y (ann.)	-30.15%	9.19%
All-time (ann.)	-30.15%	9.19%
Best Day	8.94%	0.07%
Worst Day	-6.83%	0.0%
Best Month	11.95%	1.43%
Worst Month	-11.38%	0.2%
Best Year	-8.15%	6.81%
Worst Year	-29.15%	4.01%
Avg. Drawdown	-21.08%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.83	-
Ulcer Index	0.3	0.0
Serenity Index	-0.04	-
Avg. Up Month	5.88%	0.69%
Avg. Down Month	-	-
Win Days	46.46%	100.0%
Win Month	33.33%	100.0%
Win Quarter	16.67%	100.0%
Win Year	0.0%	100.0%
Beta	0.31	-
Alpha	-0.34	-
Correlation	0.37%	-
Treynor Ratio	-111.79%	-