TLCB RUB[Strategy] vs Deposit RUB[Benchmark]

23 Nov, 2023 - 10 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	9.52%	7.69%
CAGR﹪	21.71%	17.34%
Sharpe	1.71	36.86
Prob. Sharpe Ratio	87.52%	100.0%
Smart Sharpe	1.52	32.85
Sortino	2.58	-
Smart Sortino	2.3	-
Sortino/√2	1.83	-
Smart Sortino/√2	1.63	-
Omega	1.32	1.32
Max Drawdown	-5.38%	-
Longest DD Days	-	-
Volatility (ann.)	11.89%	0.43%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	4.04	-
Skew	-0.15	4.12
Kurtosis	-0.14	17.37
Expected Daily	0.08%	0.06%
Expected Monthly	1.31%	1.06%
Expected Yearly	4.65%	3.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.15%	-0.02%
Expected Shortfall (cVaR)	-1.15%	-0.02%
Max Consecutive Wins	6	116
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.32	-
Gain/Pain (1M)	7.45	-
Payoff Ratio	-	-
Profit Factor	1.32	-
Common Sense Ratio	1.49	-
CPC Index	-	-
Tail Ratio	1.13	1.14
Outlier Win Ratio	1.61	13.81
Outlier Loss Ratio	1.16	-
MTD	-0.81%	0.32%
3M	4.25%	3.65%
6M	9.52%	7.69%
YTD	4.25%	5.38%
1Y	9.52%	7.69%
3Y (ann.)	21.71%	17.34%
5Y (ann.)	21.71%	17.34%
10Y (ann.)	21.71%	17.34%
All-time (ann.)	21.71%	17.34%
Best Day	1.79%	0.19%
Worst Day	-1.95%	0.0%
Best Month	3.52%	1.24%
Worst Month	-0.81%	0.32%
Best Year	5.06%	5.38%
Worst Year	4.25%	2.18%
Avg. Drawdown	-1.93%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.77	-
Ulcer Index	0.02	0.0
Serenity Index	1.03	-
Avg. Up Month	2.12%	1.18%
Avg. Down Month	-	-
Win Days	57.55%	100.0%
Win Month	71.43%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.7	-
Alpha	-0.07	-
Correlation	6.19%	-
Treynor Ratio	5.6%	-