VTBB[Strategy] vs INav[Benchmark]

4 Mar, 2019 - 21 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	99.0%
Cumulative Return	26.14%	27.0%
CAGR%	7.08%	7.29%
Sharpe	0.88	1.87
Sortino	1.06	2.36
Max Drawdown	-15.81%	-8.25%
Longest DD Days	270	270
Volatility (ann.)	8.53%	3.95%
R^2	0.59	0.59
Calmar	0.45	0.89
Skew	-10.77	-5.21
Kurtosis	299.01	78.67
Expected Daily %	0.03%	0.03%
Expected Monthly %	0.57%	0.58%
Expected Yearly %	5.98%	6.16%
Kelly Criterion	7.74%	21.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.85%	-0.38%
Expected Shortfall (cVaR)	-2.27%	-2.27%
Payoff Ratio	0.77	0.85
Profit Factor	0.39	0.62
Common Sense Ratio	0.61	0.94
CPC Index	0.18	0.34
Tail Ratio	1.53	1.53
Outlier Win Ratio	4.28	6.08
Outlier Loss Ratio	4.16	6.18
MTD	1.12%	1.11%
3M	10.5%	10.07%
6M	6.21%	6.27%
YTD	4.4%	4.71%
1Y	5.35%	5.29%
3Y (ann.)	6.46%	6.57%
5Y (ann.)	7.11%	7.32%
10Y (ann.)	7.11%	7.32%
All-time (ann.)	7.11%	7.32%
Best Day	6.2%	1.53%
Worst Day	-11.72%	-3.82%
Best Month	5.59%	5.26%
Worst Month	-8.52%	-5.65%
Best Year	11.47%	11.85%
Worst Year	0.16%	0.38%
Avg. Drawdown	-0.4%	-0.25%
Avg. Drawdown Days	10	9
Recovery Factor	1.65	3.27
Ulcer Index	inf	inf
Avg. Up Month	1.34%	1.3%
Avg. Down Month	-1.76%	-1.33%
Win Days %	59.8%	63.68%
Win Month %	73.17%	73.17%
Win Quarter %	73.33%	73.33%
Win Year %	100.0%	100.0%
Beta	1.66	-
Alpha	-0.05	-