TLCB RUB[Strategy] vs Deposit RUB[Benchmark]

23 Nov, 2023 - 22 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-1.79%	46.68%
CAGR﹪	-0.83%	19.33%
Sharpe	0.01	66.91
Prob. Sharpe Ratio	50.51%	100.0%
Smart Sharpe	0.01	58.58
Sortino	0.01	-
Smart Sortino	0.01	-
Sortino/√2	0.01	-
Smart Sortino/√2	0.01	-
Omega	1.0	1.0
Max Drawdown	-15.24%	-
Longest DD Days	-	-
Volatility (ann.)	13.77%	0.26%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	-0.05	-
Skew	0.15	3.44
Kurtosis	2.29	22.63
Expected Daily	-0.0%	0.07%
Expected Monthly	-0.07%	1.43%
Expected Yearly	-0.45%	10.05%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.43%	-0.04%
Expected Shortfall (cVaR)	-1.43%	-0.04%
Max Consecutive Wins	7	548
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.0	-
Gain/Pain (1M)	0.01	-
Payoff Ratio	-	-
Profit Factor	1.0	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	1.06	1.6
Outlier Win Ratio	2.25	18.29
Outlier Loss Ratio	1.79	-
MTD	-2.94%	1.26%
3M	-2.46%	4.34%
6M	1.96%	8.49%
YTD	-2.94%	1.26%
1Y	-9.67%	19.61%
3Y (ann.)	-0.83%	19.33%
5Y (ann.)	-0.83%	19.33%
10Y (ann.)	-0.83%	19.33%
All-time (ann.)	-0.83%	19.33%
Best Day	3.82%	0.19%
Worst Day	-3.41%	0.0%
Best Month	8.07%	1.83%
Worst Month	-6.81%	0.95%
Best Year	5.29%	19.38%
Worst Year	-8.52%	1.26%
Avg. Drawdown	-3.87%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.12	-
Ulcer Index	0.09	0.0
Serenity Index	-0.01	-
Avg. Up Month	2.52%	1.38%
Avg. Down Month	-	-
Win Days	50.4%	100.0%
Win Month	51.85%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.24	-
Alpha	0.04	-
Correlation	-0.45%	-
Treynor Ratio	7.58%	-