TUSD RUB[Strategy] vs Deposit RUB[Benchmark]

9 Nov, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	77.0%	100.0%
Cumulative Return	-21.14%	31.34%
CAGR﹪	-5.85%	7.16%
Sharpe	-0.17	28.42
Prob. Sharpe Ratio	40.53%	100.0%
Smart Sharpe	-0.16	27.53
Sortino	-0.18	-
Smart Sortino	-0.17	-
Sortino/√2	-0.12	-
Smart Sortino/√2	-0.12	-
Omega	0.94	0.94
Max Drawdown	-41.7%	-
Longest DD Days	-	-
Volatility (ann.)	34.16%	0.51%
R^2	0.02	0.02
Information Ratio	-0.04	-0.04
Calmar	-0.14	-
Skew	-10.98	2.57
Kurtosis	150.61	12.32
Expected Daily	-0.05%	0.06%
Expected Monthly	-0.98%	1.14%
Expected Yearly	-4.64%	5.6%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.56%	-0.0%
Expected Shortfall (cVaR)	-3.56%	-0.0%
Max Consecutive Wins	4	472
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.06	-
Gain/Pain (1M)	-0.15	-
Payoff Ratio	-	-
Profit Factor	0.94	-
Common Sense Ratio	1.03	-
CPC Index	-	-
Tail Ratio	1.1	3.28
Outlier Win Ratio	3.55	29.43
Outlier Loss Ratio	1.5	-
MTD	0.8%	1.29%
3M	3.8%	4.62%
6M	8.84%	9.53%
YTD	13.77%	16.38%
1Y	-15.59%	22.67%
3Y (ann.)	2.52%	8.09%
5Y (ann.)	-5.85%	7.16%
10Y (ann.)	-5.85%	7.16%
All-time (ann.)	-5.85%	7.16%
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	13.77%	16.38%
Worst Year	-25.81%	1.21%
Avg. Drawdown	-7.25%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.51	-
Ulcer Index	0.31	0.0
Serenity Index	-0.03	-
Avg. Up Month	2.95%	1.17%
Avg. Down Month	-	-
Win Days	59.72%	100.0%
Win Month	87.5%	100.0%
Win Quarter	80.0%	100.0%
Win Year	60.0%	100.0%
Beta	-10.51	-
Alpha	1.47	-
Correlation	-15.72%	-
Treynor Ratio	2.01%	-