TUSD RUB[Strategy] vs Deposit RUB[Benchmark]

9 Nov, 2021 - 30 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	72.0%	100.0%
Cumulative Return	-8.95%	50.42%
CAGR﹪	-1.87%	8.55%
Sharpe	0.05	34.51
Prob. Sharpe Ratio	53.17%	100.0%
Smart Sharpe	0.05	33.4
Sortino	0.05	-
Smart Sortino	0.05	-
Sortino/√2	0.04	-
Smart Sortino/√2	0.03	-
Omega	1.02	1.02
Max Drawdown	-41.7%	-
Longest DD Days	-	-
Volatility (ann.)	27.45%	0.41%
R^2	0.03	0.03
Information Ratio	-0.03	-0.03
Calmar	-0.04	-
Skew	-13.66	3.45
Kurtosis	234.05	22.59
Expected Daily	-0.01%	0.06%
Expected Monthly	-0.26%	1.14%
Expected Yearly	-1.55%	7.04%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.84%	-0.01%
Expected Shortfall (cVaR)	-2.84%	-0.01%
Max Consecutive Wins	5	733
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.02	-
Gain/Pain (1M)	0.05	-
Payoff Ratio	-	-
Profit Factor	1.02	-
Common Sense Ratio	1.2	-
CPC Index	-	-
Tail Ratio	1.17	3.2
Outlier Win Ratio	4.57	26.98
Outlier Loss Ratio	1.36	-
MTD	0.97%	1.09%
3M	3.13%	3.38%
6M	6.46%	6.69%
YTD	12.23%	11.64%
1Y	15.08%	14.66%
3Y (ann.)	-1.27%	18.34%
5Y (ann.)	-2.67%	8.54%
10Y (ann.)	-1.87%	8.55%
All-time (ann.)	-1.87%	8.55%
Best Day	4.75%	0.24%
Worst Day	-30.6%	0.0%
Best Month	14.62%	1.83%
Worst Month	-34.2%	0.55%
Best Year	17.03%	19.38%
Worst Year	-25.81%	1.21%
Avg. Drawdown	-7.25%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.21	-
Ulcer Index	0.29	0.0
Serenity Index	-0.01	-
Avg. Up Month	2.32%	1.16%
Avg. Down Month	-	-
Win Days	63.55%	100.0%
Win Month	91.67%	100.0%
Win Quarter	85.71%	100.0%
Win Year	66.67%	100.0%
Beta	-10.83	-
Alpha	1.53	-
Correlation	-16.03%	-
Treynor Ratio	0.83%	-