TRUR RUB[Strategy] vs Deposit RUB[Benchmark]

9 Dec, 2019 - 30 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	70.41%	59.54%
CAGR﹪	11.1%	9.67%
Sharpe	1.04	16.94
Prob. Sharpe Ratio	98.14%	100.0%
Smart Sharpe	1.03	16.75
Sortino	1.4	-
Smart Sortino	1.38	-
Sortino/√2	0.99	-
Smart Sortino/√2	0.98	-
Omega	1.24	1.24
Max Drawdown	-20.43%	-
Longest DD Days	-	-
Volatility (ann.)	10.79%	0.55%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	0.54	-
Skew	-2.99	15.16
Kurtosis	53.14	315.9
Expected Daily	0.04%	0.04%
Expected Monthly	0.88%	0.77%
Expected Yearly	9.29%	8.1%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.07%	-0.02%
Expected Shortfall (cVaR)	-1.07%	-0.02%
Max Consecutive Wins	11	1260
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.24	-
Gain/Pain (1M)	1.27	-
Payoff Ratio	-	-
Profit Factor	1.24	-
Common Sense Ratio	1.35	-
CPC Index	-	-
Tail Ratio	1.09	4.34
Outlier Win Ratio	2.16	22.36
Outlier Loss Ratio	1.58	-
MTD	5.8%	1.86%
3M	7.79%	5.53%
6M	13.94%	10.2%
YTD	15.95%	18.79%
1Y	15.95%	18.79%
3Y (ann.)	13.05%	12.81%
5Y (ann.)	10.76%	9.76%
10Y (ann.)	11.1%	9.67%
All-time (ann.)	11.1%	9.67%
Best Day	4.59%	0.77%
Worst Day	-10.6%	0.0%
Best Month	9.22%	1.86%
Worst Month	-9.74%	0.37%
Best Year	27.37%	18.79%
Worst Year	-5.83%	0.47%
Avg. Drawdown	-1.51%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.45	-
Ulcer Index	0.06	0.0
Serenity Index	0.75	-
Avg. Up Month	2.41%	0.79%
Avg. Down Month	-	-
Win Days	56.71%	100.0%
Win Month	70.0%	100.0%
Win Quarter	71.43%	100.0%
Win Year	83.33%	100.0%
Beta	2.38	-
Alpha	-0.11	-
Correlation	12.18%	-
Treynor Ratio	29.55%	-