VTBB[Strategy] vs RUB Inflation[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%	28.64%
CAGR﹪	7.19%	7.66%
Sharpe	0.89	1.84
Prob. Sharpe Ratio	88.25%	100.0%
Smart Sharpe	0.74	1.53
Sortino	1.07	98.62
Smart Sortino	0.89	81.96
Sortino/√2	0.76	69.73
Smart Sortino/√2	0.63	57.96
Omega	1.4	1.4
Max Drawdown	-15.87%	-0.74%
Longest DD Days	270	120
Volatility (ann.)	8.53%	4.19%
R^2	0.02	0.02
Information Ratio	-0.0	-0.0
Calmar	0.45	10.37
Skew	-10.81	28.59
Kurtosis	300.95	822.65
Expected Daily	0.03%	0.03%
Expected Monthly	0.57%	0.6%
Expected Yearly	6.11%	6.5%
Kelly Criterion	43.86%	82.11%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.85%	-0.4%
Expected Shortfall (cVaR)	-0.85%	-0.4%
Max Consecutive Wins	13	393
Max Consecutive Losses	7	43
Gain/Pain Ratio	0.4	20.34
Gain/Pain (1M)	1.63	20.34
Payoff Ratio	2.52	4.55
Profit Factor	1.4	21.34
Common Sense Ratio	2.15	126.34
CPC Index	2.11	82.81
Tail Ratio	1.54	5.92
Outlier Win Ratio	2.46	11.17
Outlier Loss Ratio	2.56	49.08
MTD	1.13%	-0.39%
3M	9.89%	-0.11%
6M	5.78%	10.26%
YTD	4.41%	10.97%
1Y	5.36%	15.22%
3Y (ann.)	6.31%	8.49%
5Y (ann.)	7.19%	7.66%
10Y (ann.)	7.19%	7.66%
All-time (ann.)	7.19%	7.66%
Best Day	6.22%	7.61%
Worst Day	-11.76%	-0.03%
Best Month	5.61%	7.61%
Worst Month	-8.55%	-0.39%
Best Year	11.98%	10.97%
Worst Year	0.16%	1.94%
Avg. Drawdown	-0.39%	-0.42%
Avg. Drawdown Days	10	79
Recovery Factor	1.69	38.78
Ulcer Index	0.02	0.0
Serenity Index	2.72	285.84
Avg. Up Month	1.3%	0.74%
Avg. Down Month	-	-
Win Days	59.82%	85.34%
Win Month	73.81%	85.71%
Win Quarter	73.33%	86.67%
Win Year	100.0%	100.0%
Beta	0.3	-
Alpha	0.05	-
Correlation	14.72%	-
Treynor Ratio	89.22%	-