TUSD RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

12 Nov, 2021 - 2 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	72.0%	55.0%
Cumulative Return	-11.41%	-100.0%
CAGR﹪	-2.41%	-100.0%
Sharpe	0.01	-0.73
Prob. Sharpe Ratio	50.88%	1.97%
Smart Sharpe	0.01	-0.71
Sortino	0.01	-0.74
Smart Sortino	0.01	-0.71
Sortino/√2	0.01	-0.52
Smart Sortino/√2	0.01	-0.5
Omega	1.01	1.01
Max Drawdown	-41.7%	-100.0%
Longest DD Days	1544	1711
Volatility (ann.)	27.57%	85.89%
R^2	0.32	0.32
Information Ratio	0.05	0.05
Calmar	-0.06	-1.0
Skew	-13.62	-17.49
Kurtosis	232.36	319.24
Expected Daily	-0.02%	-100.0%
Expected Monthly	-0.33%	-100.0%
Expected Yearly	-2.0%	-100.0%
Kelly Criterion	-0.37%	-66.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.86%	-9.15%
Expected Shortfall (cVaR)	-2.86%	-9.15%
Max Consecutive Wins	5	12
Max Consecutive Losses	6	11
Gain/Pain Ratio	0.01	-0.5
Gain/Pain (1M)	0.01	-0.73
Payoff Ratio	0.57	0.41
Profit Factor	1.01	0.5
Common Sense Ratio	1.16	0.57
CPC Index	0.36	0.11
Tail Ratio	1.15	1.14
Outlier Win Ratio	8.66	8.27
Outlier Loss Ratio	2.93	1.41
MTD	0.14%	1.0%
3M	2.98%	2.95%
6M	6.61%	-100.0%
YTD	12.38%	-100.0%
1Y	14.69%	-100.0%
3Y (ann.)	-1.2%	-100.0%
5Y (ann.)	-2.61%	-100.0%
10Y (ann.)	-2.41%	-100.0%
All-time (ann.)	-2.41%	-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	204	163
Recovery Factor	-0.27	-1.0
Ulcer Index	0.29	0.85
Serenity Index	-0.02	-0.05
Avg. Up Month	3.35%	5.28%
Avg. Down Month	-23.53%	-43.46%
Win Days	63.65%	51.65%
Win Month	91.89%	59.09%
Win Quarter	85.71%	60.0%
Win Year	66.67%	40.0%
Beta	0.18	-
Alpha	0.12	-
Correlation	56.68%	-
Treynor Ratio	-62.71%	-