TUSD[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 1 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	86.0%	100.0%
Cumulative Return	-28.04%	13.21%
CAGR﹪	-9.24%	3.72%
Sharpe	-0.37	22.52
Prob. Sharpe Ratio	31.84%	100.0%
Smart Sharpe	-0.36	21.81
Sortino	-0.4	80.94
Smart Sortino	-0.38	78.4
Sortino/√2	-0.28	57.23
Smart Sortino/√2	-0.27	55.44
Omega	0.88	0.88
Max Drawdown	-41.7%	-0.52%
Longest DD Days	964	105
Volatility (ann.)	41.05%	0.42%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	-0.22	7.16
Skew	-9.14	-0.6
Kurtosis	103.69	1.08
Expected Daily	-0.1%	0.04%
Expected Monthly	-1.81%	0.69%
Expected Yearly	-6.37%	2.51%
Kelly Criterion	-130.04%	91.35%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.31%	-0.01%
Expected Shortfall (cVaR)	-4.31%	-0.01%
Max Consecutive Wins	4	236
Max Consecutive Losses	6	15
Gain/Pain Ratio	-0.12	23.81
Gain/Pain (1M)	-0.27	23.81
Payoff Ratio	0.24	1.14
Profit Factor	0.88	24.81
Common Sense Ratio	1.01	738.41
CPC Index	0.12	26.91
Tail Ratio	1.16	29.77
Outlier Win Ratio	2.69	46.06
Outlier Loss Ratio	1.59	59.63
MTD	0.0%	0.04%
3M	3.8%	2.96%
6M	-22.98%	6.6%
YTD	3.8%	2.96%
1Y	-22.98%	6.6%
3Y (ann.)	-15.86%	3.29%
5Y (ann.)	-9.24%	3.72%
10Y (ann.)	-9.24%	3.72%
All-time (ann.)	-9.24%	3.72%
Best Day	4.75%	0.11%
Worst Day	-30.6%	-0.03%
Best Month	14.62%	1.43%
Worst Month	-34.2%	-0.52%
Best Year	7.2%	3.54%
Worst Year	-25.81%	1.3%
Avg. Drawdown	-7.25%	-0.52%
Avg. Drawdown Days	132	105
Recovery Factor	-0.67	25.4
Ulcer Index	0.3	0.0
Serenity Index	-0.05	5.83
Avg. Up Month	3.77%	0.87%
Avg. Down Month	-34.2%	-0.52%
Win Days	55.36%	95.4%
Win Month	82.35%	94.44%
Win Quarter	71.43%	87.5%
Win Year	60.0%	100.0%
Beta	3.94	-
Alpha	-0.53	-
Correlation	4.08%	-
Treynor Ratio	-7.12%	-