VTBB RUB[Strategy] vs Deposit RUB[Benchmark]

21 Feb, 2019 - 21 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	26.76%	25.57%
CAGR﹪	7.19%	6.9%
Sharpe	0.89	8.09
Prob. Sharpe Ratio	88.25%	99.19%
Smart Sharpe	0.74	6.72
Sortino	1.07	-
Smart Sortino	0.89	-
Sortino/√2	0.76	-
Smart Sortino/√2	0.63	-
Omega	1.4	1.4
Max Drawdown	-15.87%	-
Longest DD Days	-	-
Volatility (ann.)	8.53%	0.85%
R^2	0.02	0.02
Information Ratio	0.0	0.0
Calmar	0.45	-
Skew	-10.81	27.42
Kurtosis	300.95	777.12
Expected Daily	0.03%	0.03%
Expected Monthly	0.57%	0.54%
Expected Yearly	6.11%	5.86%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.85%	-0.06%
Expected Shortfall (cVaR)	-0.85%	-0.06%
Max Consecutive Wins	13	832
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.4	-
Gain/Pain (1M)	1.63	-
Payoff Ratio	-	-
Profit Factor	1.4	-
Common Sense Ratio	2.15	-
CPC Index	-	-
Tail Ratio	1.54	2.72
Outlier Win Ratio	2.39	14.93
Outlier Loss Ratio	2.45	-
MTD	1.13%	0.58%
3M	9.89%	2.43%
6M	5.78%	5.77%
YTD	4.41%	6.21%
1Y	5.36%	9.45%
3Y (ann.)	6.31%	6.67%
5Y (ann.)	7.19%	6.9%
10Y (ann.)	7.19%	6.9%
All-time (ann.)	7.19%	6.9%
Best Day	6.22%	1.55%
Worst Day	-11.76%	0.0%
Best Month	5.61%	1.55%
Worst Month	-8.55%	0.37%
Best Year	11.98%	6.44%
Worst Year	0.16%	4.97%
Avg. Drawdown	-0.39%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.69	-
Ulcer Index	0.02	0.0
Serenity Index	2.72	-
Avg. Up Month	1.31%	0.56%
Avg. Down Month	-	-
Win Days	59.82%	100.0%
Win Month	73.81%	100.0%
Win Quarter	73.33%	100.0%
Win Year	100.0%	100.0%
Beta	1.53	-
Alpha	-0.03	-
Correlation	15.29%	-
Treynor Ratio	17.49%	-