TUSD RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

12 Nov, 2021 - 19 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	76.0%	42.0%
Cumulative Return	-21.54%	-100.0%
CAGR﹪	-5.74%	-100.0%
Sharpe	-0.17	-0.6
Prob. Sharpe Ratio	40.02%	8.95%
Smart Sharpe	-0.16	-0.58
Sortino	-0.18	-0.61
Smart Sortino	-0.17	-0.59
Sortino/√2	-0.13	-0.43
Smart Sortino/√2	-0.12	-0.41
Omega	0.93	0.93
Max Drawdown	-41.7%	-100.0%
Longest DD Days	1226	1393
Volatility (ann.)	32.9%	73.97%
R^2	0.62	0.62
Information Ratio	0.05	0.05
Calmar	-0.14	-1.0
Skew	-11.42	-19.79
Kurtosis	162.74	418.69
Expected Daily	-0.05%	-100.0%
Expected Monthly	-0.93%	-100.0%
Expected Yearly	-4.74%	-100.0%
Kelly Criterion	-0.58%	-61.51%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.43%	-7.84%
Expected Shortfall (cVaR)	-3.43%	-7.84%
Max Consecutive Wins	4	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	-0.07	-0.46
Gain/Pain (1M)	-0.15	-0.68
Payoff Ratio	0.65	0.41
Profit Factor	0.93	0.54
Common Sense Ratio	0.98	0.81
CPC Index	0.37	0.12
Tail Ratio	1.05	1.51
Outlier Win Ratio	6.67	11.46
Outlier Loss Ratio	2.88	1.61
MTD	0.47%	0.0%
3M	3.54%	0.0%
6M	7.89%	0.0%
YTD	16.49%	0.0%
1Y	19.29%	0.0%
3Y (ann.)	-3.03%	-100.0%
5Y (ann.)	-5.74%	-100.0%
10Y (ann.)	-5.74%	-100.0%
All-time (ann.)	-5.74%	-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	16.49%	8.91%
Worst Year	-25.81%	-100.0%
Avg. Drawdown	-7.25%	-10.63%
Avg. Drawdown Days	164	134
Recovery Factor	-0.52	-1.0
Ulcer Index	0.31	0.78
Serenity Index	-0.03	-0.04
Avg. Up Month	5.29%	6.02%
Avg. Down Month	-23.53%	-43.46%
Win Days	60.36%	53.3%
Win Month	88.46%	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	-61.52%	-