TUSD[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 14 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	73.0%	100.0%
Cumulative Return	-10.34%	22.52%
CAGR﹪	-2.22%	4.28%
Sharpe	0.03	18.57
Prob. Sharpe Ratio	51.91%	100.0%
Smart Sharpe	0.03	17.98
Sortino	0.03	75.95
Smart Sortino	0.03	73.53
Sortino/√2	0.02	53.7
Smart Sortino/√2	0.02	51.99
Omega	1.01	1.01
Max Drawdown	-41.7%	-0.52%
Longest DD Days	1495	105
Volatility (ann.)	28.1%	0.39%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.05	8.23
Skew	-13.34	0.42
Kurtosis	223.22	1.16
Expected Daily	-0.02%	0.03%
Expected Monthly	-0.31%	0.58%
Expected Yearly	-1.8%	3.44%
Kelly Criterion	-122.17%	89.98%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.91%	-0.01%
Expected Shortfall (cVaR)	-2.91%	-0.01%
Max Consecutive Wins	5	326
Max Consecutive Losses	6	21
Gain/Pain Ratio	0.01	22.04
Gain/Pain (1M)	0.03	22.04
Payoff Ratio	0.2	1.06
Profit Factor	1.01	23.04
Common Sense Ratio	1.19	81.64
CPC Index	0.13	23.13
Tail Ratio	1.17	3.54
Outlier Win Ratio	4.44	47.58
Outlier Loss Ratio	1.41	51.38
MTD	0.42%	0.23%
3M	3.18%	1.77%
6M	6.57%	2.81%
YTD	10.53%	5.52%
1Y	15.35%	7.03%
3Y (ann.)	-2.15%	7.85%
5Y (ann.)	-2.22%	4.28%
10Y (ann.)	-2.22%	4.28%
All-time (ann.)	-2.22%	4.28%
Best Day	4.75%	0.11%
Worst Day	-30.6%	-0.03%
Best Month	14.62%	1.62%
Worst Month	-34.2%	-0.52%
Best Year	17.03%	5.6%
Worst Year	-25.81%	1.3%
Avg. Drawdown	-7.25%	-0.46%
Avg. Drawdown Days	198	84
Recovery Factor	-0.25	43.31
Ulcer Index	0.3	0.0
Serenity Index	-0.01	16.05
Avg. Up Month	2.38%	0.66%
Avg. Down Month	-34.2%	-0.52%
Win Days	63.24%	94.85%
Win Month	91.43%	94.29%
Win Quarter	84.62%	92.31%
Win Year	66.67%	100.0%
Beta	1.46	-
Alpha	-0.1	-
Correlation	2.05%	-
Treynor Ratio	-7.08%	-