TUSD RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

12 Nov, 2021 - 12 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	76.0%	41.0%
Cumulative Return	-18.24%	-100.0%
CAGR﹪	-4.54%	-100.0%
Sharpe	-0.1	-0.54
Prob. Sharpe Ratio	43.83%	10.82%
Smart Sharpe	-0.1	-0.53
Sortino	-0.11	-0.55
Smart Sortino	-0.1	-0.53
Sortino/√2	-0.08	-0.39
Smart Sortino/√2	-0.07	-0.38
Omega	0.96	0.96
Max Drawdown	-41.7%	-100.0%
Longest DD Days	1309	1476
Volatility (ann.)	31.35%	70.64%
R^2	0.62	0.62
Information Ratio	0.04	0.04
Calmar	-0.11	-1.0
Skew	-11.99	-20.61
Kurtosis	179.44	456.85
Expected Daily	-0.04%	-100.0%
Expected Monthly	-0.69%	-100.0%
Expected Yearly	-3.3%	-100.0%
Kelly Criterion	1.96%	-61.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.26%	-7.47%
Expected Shortfall (cVaR)	-3.26%	-7.47%
Max Consecutive Wins	4	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	-0.04	-0.42
Gain/Pain (1M)	-0.1	-0.65
Payoff Ratio	0.64	0.4
Profit Factor	0.96	0.58
Common Sense Ratio	1.06	0.88
CPC Index	0.38	0.13
Tail Ratio	1.11	1.52
Outlier Win Ratio	7.28	11.47
Outlier Loss Ratio	3.02	1.66
MTD	0.75%	3.17%
3M	4.52%	4.06%
6M	8.06%	4.06%
YTD	3.72%	4.06%
1Y	17.75%	4.06%
3Y (ann.)	-7.29%	-100.0%
5Y (ann.)	-4.54%	-100.0%
10Y (ann.)	-4.54%	-100.0%
All-time (ann.)	-4.54%	-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	175	142
Recovery Factor	-0.44	-1.0
Ulcer Index	0.31	0.8
Serenity Index	-0.02	-0.04
Avg. Up Month	4.35%	5.13%
Avg. Down Month	-23.53%	-43.46%
Win Days	61.76%	53.71%
Win Month	89.66%	64.29%
Win Quarter	81.82%	71.43%
Win Year	66.67%	60.0%
Beta	0.35	-
Alpha	0.1	-
Correlation	78.48%	-
Treynor Ratio	-52.39%	-