TLCB RUB[Strategy] vs Deposit RUB[Benchmark]

23 Nov, 2023 - 26 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	10.22%	58.25%
CAGR﹪	3.59%	18.1%
Sharpe	0.33	66.9
Prob. Sharpe Ratio	70.64%	100.0%
Smart Sharpe	0.29	59.92
Sortino	0.48	-
Smart Sortino	0.43	-
Sortino/√2	0.34	-
Smart Sortino/√2	0.3	-
Omega	1.06	1.06
Max Drawdown	-16.39%	-
Longest DD Days	-	-
Volatility (ann.)	13.6%	0.25%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	0.22	-
Skew	0.13	3.49
Kurtosis	1.94	25.69
Expected Daily	0.01%	0.07%
Expected Monthly	0.29%	1.36%
Expected Yearly	2.46%	12.16%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.39%	-0.04%
Expected Shortfall (cVaR)	-1.39%	-0.04%
Max Consecutive Wins	8	697
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.28	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.12	-
CPC Index	-	-
Tail Ratio	1.06	1.76
Outlier Win Ratio	2.03	17.82
Outlier Loss Ratio	1.62	-
MTD	6.83%	1.07%
3M	14.18%	3.47%
6M	10.99%	6.83%
YTD	8.92%	9.25%
1Y	9.24%	15.28%
3Y (ann.)	3.59%	18.1%
5Y (ann.)	3.59%	18.1%
10Y (ann.)	3.59%	18.1%
All-time (ann.)	3.59%	18.1%
Best Day	3.82%	0.19%
Worst Day	-3.41%	0.0%
Best Month	8.25%	1.83%
Worst Month	-6.81%	0.95%
Best Year	8.92%	19.38%
Worst Year	-8.52%	2.18%
Avg. Drawdown	-3.97%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.62	-
Ulcer Index	0.1	0.0
Serenity Index	0.06	-
Avg. Up Month	2.94%	1.31%
Avg. Down Month	-	-
Win Days	51.32%	100.0%
Win Month	55.88%	100.0%
Win Quarter	58.33%	100.0%
Win Year	75.0%	100.0%
Beta	-0.29	-
Alpha	0.09	-
Correlation	-0.53%	-
Treynor Ratio	-35.19%	-