TUSD RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

12 Nov, 2021 - 20 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	77.0%	44.0%
Cumulative Return	-22.27%	-100.0%
CAGR﹪	-6.07%	-100.0%
Sharpe	-0.19	-0.61
Prob. Sharpe Ratio	39.15%	8.95%
Smart Sharpe	-0.18	-0.59
Sortino	-0.2	-0.62
Smart Sortino	-0.19	-0.6
Sortino/√2	-0.14	-0.44
Smart Sortino/√2	-0.14	-0.42
Omega	0.93	0.93
Max Drawdown	-41.7%	-100.0%
Longest DD Days	1197	1364
Volatility (ann.)	33.6%	75.55%
R^2	0.62	0.62
Information Ratio	0.05	0.05
Calmar	-0.15	-1.0
Skew	-11.18	-19.37
Kurtosis	155.96	401.39
Expected Daily	-0.05%	-100.0%
Expected Monthly	-1.0%	-100.0%
Expected Yearly	-4.91%	-100.0%
Kelly Criterion	-1.77%	-61.51%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.51%	-8.01%
Expected Shortfall (cVaR)	-3.51%	-8.01%
Max Consecutive Wins	4	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	-0.07	-0.46
Gain/Pain (1M)	-0.17	-0.68
Payoff Ratio	0.65	0.41
Profit Factor	0.93	0.54
Common Sense Ratio	0.98	0.83
CPC Index	0.36	0.12
Tail Ratio	1.06	1.54
Outlier Win Ratio	6.43	10.95
Outlier Loss Ratio	2.85	1.62
MTD	0.95%	0.0%
3M	3.75%	0.0%
6M	8.52%	0.0%
YTD	15.4%	0.0%
1Y	19.07%	0.0%
3Y (ann.)	-1.81%	-100.0%
5Y (ann.)	-6.07%	-100.0%
10Y (ann.)	-6.07%	-100.0%
All-time (ann.)	-6.07%	-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	15.4%	8.91%
Worst Year	-25.81%	-100.0%
Avg. Drawdown	-7.25%	-10.63%
Avg. Drawdown Days	161	132
Recovery Factor	-0.53	-1.0
Ulcer Index	0.31	0.76
Serenity Index	-0.03	-0.05
Avg. Up Month	5.29%	6.02%
Avg. Down Month	-23.53%	-43.46%
Win Days	59.89%	53.3%
Win Month	88.0%	58.33%
Win Quarter	80.0%	66.67%
Win Year	60.0%	50.0%
Beta	0.35	-
Alpha	0.1	-
Correlation	78.72%	-
Treynor Ratio	-63.61%	-