TUSD RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

12 Nov, 2021 - 10 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	81.0%	54.0%
Cumulative Return	-26.42%	-100.0%
CAGR﹪	-8.04%	-100.0%
Sharpe	-0.3	-0.68
Prob. Sharpe Ratio	33.94%	8.95%
Smart Sharpe	-0.29	-0.66
Sortino	-0.32	-0.69
Smart Sortino	-0.31	-0.67
Sortino/√2	-0.23	-0.49
Smart Sortino/√2	-0.22	-0.47
Omega	0.89	0.89
Max Drawdown	-41.7%	-100.0%
Longest DD Days	1064	1231
Volatility (ann.)	37.42%	84.19%
R^2	0.62	0.62
Information Ratio	0.05	0.05
Calmar	-0.19	-1.0
Skew	-10.04	-17.38
Kurtosis	125.36	323.12
Expected Daily	-0.08%	-100.0%
Expected Monthly	-1.45%	-100.0%
Expected Yearly	-5.95%	-100.0%
Kelly Criterion	-6.33%	-61.51%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.92%	-8.95%
Expected Shortfall (cVaR)	-3.92%	-8.95%
Max Consecutive Wins	4	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	-0.11	-0.46
Gain/Pain (1M)	-0.24	-0.68
Payoff Ratio	0.65	0.41
Profit Factor	0.89	0.54
Common Sense Ratio	0.99	0.66
CPC Index	0.34	0.12
Tail Ratio	1.11	1.23
Outlier Win Ratio	5.44	8.55
Outlier Loss Ratio	2.62	1.66
MTD	0.5%	0.0%
3M	4.87%	0.0%
6M	8.84%	0.0%
YTD	9.24%	0.0%
1Y	-18.95%	-100.0%
3Y (ann.)	-12.97%	-100.0%
5Y (ann.)	-8.04%	-100.0%
10Y (ann.)	-8.04%	-100.0%
All-time (ann.)	-8.04%	-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	9.24%	8.91%
Worst Year	-25.81%	-100.0%
Avg. Drawdown	-7.25%	-10.63%
Avg. Drawdown Days	144	120
Recovery Factor	-0.63	-1.0
Ulcer Index	0.31	0.7
Serenity Index	-0.04	-0.06
Avg. Up Month	5.29%	6.02%
Avg. Down Month	-23.53%	-43.46%
Win Days	58.1%	53.3%
Win Month	85.71%	58.33%
Win Quarter	77.78%	66.67%
Win Year	60.0%	50.0%
Beta	0.35	-
Alpha	0.09	-
Correlation	78.76%	-
Treynor Ratio	-75.47%	-