TUSD RUB[Strategy] vs Deposit RUB[Benchmark]

9 Nov, 2021 - 18 Mar, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	-28.54%	18.89%
CAGR﹪	-9.53%	5.29%
Sharpe	-0.39	21.21
Prob. Sharpe Ratio	31.18%	100.0%
Smart Sharpe	-0.38	20.54
Sortino	-0.42	-
Smart Sortino	-0.4	-
Sortino/√2	-0.29	-
Smart Sortino/√2	-0.29	-
Omega	0.87	0.87
Max Drawdown	-41.7%	-
Longest DD Days	-	-
Volatility (ann.)	41.69%	0.65%
R^2	0.02	0.02
Information Ratio	-0.05	-0.05
Calmar	-0.23	-
Skew	-8.99	2.39
Kurtosis	100.45	7.22
Expected Daily	-0.11%	0.05%
Expected Monthly	-1.96%	1.02%
Expected Yearly	-6.5%	3.52%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.38%	-0.01%
Expected Shortfall (cVaR)	-4.38%	-0.01%
Max Consecutive Wins	4	316
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.13	-
Gain/Pain (1M)	-0.28	-
Payoff Ratio	-	-
Profit Factor	0.87	-
Common Sense Ratio	1.01	-
CPC Index	-	-
Tail Ratio	1.16	5.78
Outlier Win Ratio	2.73	36.81
Outlier Loss Ratio	1.59	-
MTD	0.71%	1.73%
3M	5.37%	6.21%
6M	-23.52%	11.05%
YTD	3.08%	5.35%
1Y	-23.52%	11.05%
3Y (ann.)	-16.29%	5.83%
5Y (ann.)	-9.53%	5.29%
10Y (ann.)	-9.53%	5.29%
All-time (ann.)	-9.53%	5.29%
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	7.2%	5.41%
Worst Year	-25.81%	1.21%
Avg. Drawdown	-7.25%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.68	-
Ulcer Index	0.3	0.0
Serenity Index	-0.05	-
Avg. Up Month	3.72%	1.04%
Avg. Down Month	-	-
Win Days	54.74%	100.0%
Win Month	82.35%	100.0%
Win Quarter	71.43%	100.0%
Win Year	60.0%	100.0%
Beta	-9.99	-
Alpha	1.21	-
Correlation	-15.56%	-
Treynor Ratio	2.86%	-