TLCB RUB[Strategy] vs Deposit RUB[Benchmark]

23 Nov, 2023 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	8.04%	57.08%
CAGR﹪	2.88%	18.08%
Sharpe	0.28	65.97
Prob. Sharpe Ratio	67.58%	100.0%
Smart Sharpe	0.25	59.4
Sortino	0.4	-
Smart Sortino	0.36	-
Sortino/√2	0.28	-
Smart Sortino/√2	0.26	-
Omega	1.05	1.05
Max Drawdown	-16.39%	-
Longest DD Days	-	-
Volatility (ann.)	13.63%	0.25%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	0.18	-
Skew	0.14	3.39
Kurtosis	1.97	24.66
Expected Daily	0.01%	0.07%
Expected Monthly	0.23%	1.34%
Expected Yearly	1.95%	11.95%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.4%	-0.04%
Expected Shortfall (cVaR)	-1.4%	-0.04%
Max Consecutive Wins	8	686
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.24	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.13	-
CPC Index	-	-
Tail Ratio	1.07	1.76
Outlier Win Ratio	2.05	18.0
Outlier Loss Ratio	1.64	-
MTD	4.71%	0.32%
3M	10.45%	3.31%
6M	9.89%	6.65%
YTD	6.76%	8.44%
1Y	9.01%	15.2%
3Y (ann.)	2.88%	18.08%
5Y (ann.)	2.88%	18.08%
10Y (ann.)	2.88%	18.08%
All-time (ann.)	2.88%	18.08%
Best Day	3.82%	0.19%
Worst Day	-3.41%	0.0%
Best Month	8.25%	1.83%
Worst Month	-6.81%	0.32%
Best Year	6.76%	19.38%
Worst Year	-8.52%	2.18%
Avg. Drawdown	-3.97%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.49	-
Ulcer Index	0.1	0.0
Serenity Index	0.04	-
Avg. Up Month	2.83%	1.27%
Avg. Down Month	-	-
Win Days	51.02%	100.0%
Win Month	55.88%	100.0%
Win Quarter	58.33%	100.0%
Win Year	75.0%	100.0%
Beta	-0.56	-
Alpha	0.13	-
Correlation	-1.04%	-
Treynor Ratio	-14.28%	-