FXRL RUB[Strategy] vs VTBX RUB[Benchmark]

10 Mar, 2020 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	99.0%
Cumulative Return	12.44%	8.13%
CAGR﹪	6.15%	4.06%
Sharpe	0.1	0.03
Prob. Sharpe Ratio	15.05%	12.83%
Smart Sharpe	0.09	0.03
Sortino	0.13	0.04
Smart Sortino	0.12	0.04
Sortino/√2	0.09	0.03
Smart Sortino/√2	0.09	0.03
Omega	1.02	1.02
Max Drawdown	-38.18%	-42.86%
Longest DD Days	127	127
Volatility (ann.)	26.19%	26.61%
R^2	0.86	0.86
Information Ratio	0.01	0.01
Calmar	0.16	0.09
Skew	-1.6	-2.3
Kurtosis	13.35	16.81
Expected Daily	0.02%	0.02%
Expected Monthly	0.49%	0.33%
Expected Yearly	3.99%	2.64%
Kelly Criterion	0.48%	3.08%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.68%	-2.73%
Expected Shortfall (cVaR)	-2.68%	-2.73%
Max Consecutive Wins	11	9
Max Consecutive Losses	5	4
Gain/Pain Ratio	0.07	0.06
Gain/Pain (1M)	0.37	0.26
Payoff Ratio	0.83	0.8
Profit Factor	1.07	1.06
Common Sense Ratio	1.02	1.0
CPC Index	0.49	0.48
Tail Ratio	0.95	0.94
Outlier Win Ratio	3.72	3.96
Outlier Loss Ratio	4.43	4.23
MTD	-26.79%	-32.01%
3M	-32.68%	-38.13%
6M	-31.59%	-36.65%
YTD	-30.75%	-35.79%
1Y	-19.18%	-24.45%
3Y (ann.)	6.15%	4.06%
5Y (ann.)	6.15%	4.06%
10Y (ann.)	6.15%	4.06%
All-time (ann.)	6.15%	4.06%
Best Day	7.78%	7.27%
Worst Day	-13.29%	-13.96%
Best Month	14.67%	15.17%
Worst Month	-26.79%	-32.01%
Best Year	35.03%	39.5%
Worst Year	-30.75%	-35.79%
Avg. Drawdown	-2.99%	-3.24%
Avg. Drawdown Days	14	14
Recovery Factor	0.33	0.19
Ulcer Index	0.07	0.07
Serenity Index	0.11	0.02
Avg. Up Month	4.65%	4.69%
Avg. Down Month	-6.94%	-7.68%
Win Days	54.79%	57.06%
Win Month	62.5%	70.83%
Win Quarter	66.67%	77.78%
Win Year	66.67%	66.67%
Beta	0.91	-
Alpha	0.02	-
Correlation	92.78%	-
Treynor Ratio	5.96%	-