TITR[Strategy] vs RUB Inflation[Benchmark]

20 May, 2024 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-35.32%	10.11%
CAGR﹪	-39.26%	11.65%
Sharpe	-1.59	37.04
Prob. Sharpe Ratio	7.27%	-
Smart Sharpe	-1.42	33.05
Sortino	-2.18	-
Smart Sortino	-1.95	-
Sortino/√2	-1.54	-
Smart Sortino/√2	-1.38	-
Omega	0.77	0.77
Max Drawdown	-41.67%	-
Longest DD Days	-	-
Volatility (ann.)	28.12%	0.29%
R^2	0.0	0.0
Information Ratio	-0.12	-0.12
Calmar	-0.94	-
Skew	0.55	-0.2
Kurtosis	3.22	-0.76
Expected Daily	-0.19%	0.04%
Expected Monthly	-3.57%	0.81%
Expected Yearly	-19.58%	4.93%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.09%	-0.01%
Expected Shortfall (cVaR)	-3.09%	-0.01%
Max Consecutive Wins	5	225
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.23	-
Gain/Pain (1M)	-0.63	-
Payoff Ratio	-	-
Profit Factor	0.77	-
Common Sense Ratio	0.74	-
CPC Index	-	-
Tail Ratio	0.97	7.45
Outlier Win Ratio	1.7	49.7
Outlier Loss Ratio	1.32	-
MTD	-6.07%	0.16%
3M	-7.41%	3.02%
6M	-13.1%	6.63%
YTD	-8.71%	3.08%
1Y	-35.32%	10.11%
3Y (ann.)	-39.26%	11.65%
5Y (ann.)	-39.26%	11.65%
10Y (ann.)	-39.26%	11.65%
All-time (ann.)	-39.26%	11.65%
Best Day	8.94%	0.07%
Worst Day	-6.83%	0.0%
Best Month	11.95%	1.43%
Worst Month	-11.38%	0.16%
Best Year	-8.71%	6.81%
Worst Year	-29.15%	3.08%
Avg. Drawdown	-20.88%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.85	-
Ulcer Index	0.26	0.0
Serenity Index	-0.06	-
Avg. Up Month	7.5%	1.01%
Avg. Down Month	-	-
Win Days	44.5%	100.0%
Win Month	25.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	3.55	-
Alpha	-0.83	-
Correlation	3.66%	-
Treynor Ratio	-9.95%	-