TUSD RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

12 Nov, 2021 - 18 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	73.0%	53.0%
Cumulative Return	-12.75%	-100.0%
CAGR﹪	-2.77%	-100.0%
Sharpe	-0.01	-0.73
Prob. Sharpe Ratio	49.59%	2.27%
Smart Sharpe	-0.01	-0.71
Sortino	-0.01	-0.74
Smart Sortino	-0.01	-0.72
Sortino/√2	-0.0	-0.52
Smart Sortino/√2	-0.0	-0.51
Omega	1.0	1.0
Max Drawdown	-41.7%	-100.0%
Longest DD Days	1499	1666
Volatility (ann.)	28.17%	87.75%
R^2	0.32	0.32
Information Ratio	0.05	0.05
Calmar	-0.07	-1.0
Skew	-13.33	-17.13
Kurtosis	222.45	306.0
Expected Daily	-0.02%	-100.0%
Expected Monthly	-0.39%	-100.0%
Expected Yearly	-2.25%	-100.0%
Kelly Criterion	-1.69%	-64.62%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.92%	-9.35%
Expected Shortfall (cVaR)	-2.92%	-9.35%
Max Consecutive Wins	5	12
Max Consecutive Losses	6	11
Gain/Pain Ratio	-0.0	-0.5
Gain/Pain (1M)	-0.01	-0.73
Payoff Ratio	0.56	0.4
Profit Factor	1.0	0.5
Common Sense Ratio	1.12	0.55
CPC Index	0.36	0.11
Tail Ratio	1.13	1.1
Outlier Win Ratio	8.47	8.6
Outlier Loss Ratio	2.93	1.33
MTD	0.56%	-1.31%
3M	3.17%	15.62%
6M	6.72%	-100.0%
YTD	10.68%	-100.0%
1Y	15.51%	-100.0%
3Y (ann.)	-2.07%	-100.0%
5Y (ann.)	-2.77%	-100.0%
10Y (ann.)	-2.77%	-100.0%
All-time (ann.)	-2.77%	-100.0%
Best Day	4.75%	8.19%
Worst Day	-30.6%	-100.0%
Best Month	14.62%	14.61%
Worst Month	-34.2%	-100.0%
Best Year	17.03%	8.91%
Worst Year	-25.81%	-100.0%
Avg. Drawdown	-7.25%	-10.63%
Avg. Drawdown Days	198	159
Recovery Factor	-0.31	-1.0
Ulcer Index	0.3	0.84
Serenity Index	-0.02	-0.05
Avg. Up Month	3.61%	5.63%
Avg. Down Month	-23.53%	-43.46%
Win Days	63.35%	53.04%
Win Month	91.43%	60.0%
Win Quarter	84.62%	66.67%
Win Year	66.67%	40.0%
Beta	0.18	-
Alpha	0.12	-
Correlation	56.71%	-
Treynor Ratio	-70.03%	-