TLCB RUB[Strategy] vs Deposit RUB[Benchmark]

23 Nov, 2023 - 29 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	1.19%	54.93%
CAGR﹪	0.46%	18.34%
Sharpe	0.1	68.25
Prob. Sharpe Ratio	56.51%	100.0%
Smart Sharpe	0.09	61.4
Sortino	0.15	-
Smart Sortino	0.13	-
Sortino/√2	0.1	-
Smart Sortino/√2	0.09	-
Omega	1.02	1.02
Max Drawdown	-16.39%	-
Longest DD Days	-	-
Volatility (ann.)	13.71%	0.25%
R^2	0.0	0.0
Information Ratio	-0.07	-0.07
Calmar	0.03	-
Skew	0.17	3.68
Kurtosis	1.99	27.16
Expected Daily	0.0%	0.07%
Expected Monthly	0.04%	1.38%
Expected Yearly	0.3%	11.57%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.42%	-0.04%
Expected Shortfall (cVaR)	-1.42%	-0.04%
Max Consecutive Wins	8	655
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.02	-
Gain/Pain (1M)	0.08	-
Payoff Ratio	-	-
Profit Factor	1.02	-
Common Sense Ratio	1.1	-
CPC Index	-	-
Tail Ratio	1.08	1.69
Outlier Win Ratio	2.1	18.18
Outlier Loss Ratio	1.68	-
MTD	6.58%	1.07%
3M	-1.45%	3.38%
6M	2.2%	7.08%
YTD	0.0%	6.95%
1Y	5.05%	15.71%
3Y (ann.)	0.46%	18.34%
5Y (ann.)	0.46%	18.34%
10Y (ann.)	0.46%	18.34%
All-time (ann.)	0.46%	18.34%
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%	2.18%
Avg. Drawdown	-3.97%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.07	-
Ulcer Index	0.1	0.0
Serenity Index	0.01	-
Avg. Up Month	2.76%	1.33%
Avg. Down Month	-	-
Win Days	50.49%	100.0%
Win Month	53.12%	100.0%
Win Quarter	54.55%	100.0%
Win Year	75.0%	100.0%
Beta	0.25	-
Alpha	-0.03	-
Correlation	0.46%	-
Treynor Ratio	4.68%	-