TUSD[Strategy] vs RUB Inflation[Benchmark]

9 Nov, 2021 - 26 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	76.0%	100.0%
Cumulative Return	-18.87%	16.23%
CAGR﹪	-4.94%	3.71%
Sharpe	-0.12	18.23
Prob. Sharpe Ratio	43.14%	100.0%
Smart Sharpe	-0.11	17.65
Sortino	-0.12	65.05
Smart Sortino	-0.12	63.0
Sortino/√2	-0.09	46.0
Smart Sortino/√2	-0.08	44.55
Omega	0.95	0.95
Max Drawdown	-41.7%	-0.52%
Longest DD Days	1233	105
Volatility (ann.)	32.49%	0.4%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	-0.12	7.13
Skew	-11.55	0.04
Kurtosis	166.65	0.78
Expected Daily	-0.04%	0.03%
Expected Monthly	-0.8%	0.58%
Expected Yearly	-4.1%	3.05%
Kelly Criterion	-99.89%	86.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.38%	-0.01%
Expected Shortfall (cVaR)	-3.38%	-0.01%
Max Consecutive Wins	4	326
Max Consecutive Losses	6	21
Gain/Pain Ratio	-0.05	16.31
Gain/Pain (1M)	-0.11	16.31
Payoff Ratio	0.25	1.06
Profit Factor	0.95	17.31
Common Sense Ratio	1.02	61.36
CPC Index	0.14	17.11
Tail Ratio	1.07	3.54
Outlier Win Ratio	3.69	49.45
Outlier Loss Ratio	1.62	68.39
MTD	0.94%	0.42%
3M	3.86%	1.39%
6M	8.03%	1.89%
YTD	17.03%	5.71%
1Y	17.24%	5.96%
3Y (ann.)	-3.63%	3.36%
5Y (ann.)	-4.94%	3.71%
10Y (ann.)	-4.94%	3.71%
All-time (ann.)	-4.94%	3.71%
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	17.03%	5.71%
Worst Year	-25.81%	1.3%
Avg. Drawdown	-7.25%	-0.46%
Avg. Drawdown Days	165	84
Recovery Factor	-0.45	31.21
Ulcer Index	0.31	0.0
Serenity Index	-0.03	8.64
Avg. Up Month	2.89%	0.69%
Avg. Down Month	-34.2%	-0.52%
Win Days	60.61%	93.1%
Win Month	88.46%	92.31%
Win Quarter	80.0%	90.0%
Win Year	60.0%	100.0%
Beta	1.7	-
Alpha	-0.16	-
Correlation	2.08%	-
Treynor Ratio	-11.09%	-