VTBB RUB[Strategy] vs IMOEX RUB[Benchmark]

28 Feb, 2019 - 21 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	96.0%	100.0%
Cumulative Return	26.69%	-17.37%
CAGR﹪	7.22%	-5.46%
Sharpe	-23.53	-6.58
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-19.57	-5.48
Sortino	-13.47	-6.75
Smart Sortino	-11.2	-5.61
Sortino/√2	-9.52	-4.77
Smart Sortino/√2	-7.92	-3.97
Omega	0.01	0.01
Max Drawdown	-15.87%	-52.1%
Longest DD Days	270	324
Volatility (ann.)	8.55%	31.76%
R^2	0.58	0.58
Information Ratio	0.02	0.02
Calmar	0.45	-0.1
Skew	-10.79	-4.65
Kurtosis	299.73	106.38
Expected Daily	0.03%	-0.02%
Expected Monthly	0.56%	-0.45%
Expected Yearly	6.09%	-4.66%
Kelly Criterion	7.45%	-17.04%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-3.29%
Expected Shortfall (cVaR)	-0.86%	-3.29%
Max Consecutive Wins	13	11
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.4	-0.0
Gain/Pain (1M)	1.63	-0.01
Payoff Ratio	0.76	0.64
Profit Factor	1.4	1.0
Common Sense Ratio	2.15	0.9
CPC Index	0.64	0.35
Tail Ratio	1.54	0.9
Outlier Win Ratio	12.32	2.22
Outlier Loss Ratio	15.19	2.65
MTD	1.13%	-6.86%
3M	9.89%	-11.89%
6M	5.78%	-41.59%
YTD	4.41%	-45.78%
1Y	5.36%	-44.56%
3Y (ann.)	6.31%	-8.64%
5Y (ann.)	7.22%	-5.46%
10Y (ann.)	7.22%	-5.46%
All-time (ann.)	7.22%	-5.46%
Best Day	6.22%	20.04%
Worst Day	-11.76%	-33.28%
Best Month	5.61%	15.5%
Worst Month	-8.55%	-30.02%
Best Year	11.92%	22.56%
Worst Year	0.16%	-45.78%
Avg. Drawdown	-0.4%	-3.52%
Avg. Drawdown Days	10	25
Recovery Factor	1.68	-0.33
Ulcer Index	0.02	0.16
Serenity Index	-68.2	-2.8
Avg. Up Month	1.1%	3.94%
Avg. Down Month	-2.39%	-10.47%
Win Days	59.95%	54.41%
Win Month	73.17%	63.41%
Win Quarter	73.33%	60.0%
Win Year	100.0%	75.0%
Beta	0.21	-
Alpha	0.08	-
Correlation	76.23%	-
Treynor Ratio	-3280.65%	-