VTBB RUB[Strategy] vs SBRB RUB[Benchmark]

20 Jan, 2020 - 21 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	96.0%
Cumulative Return	12.59%	13.51%
CAGR﹪	4.85%	5.2%
Sharpe	-0.13	-0.08
Prob. Sharpe Ratio	22.9%	21.5%
Smart Sharpe	-0.11	-0.07
Sortino	-0.15	-0.1
Smart Sortino	-0.13	-0.09
Sortino/√2	-0.11	-0.07
Smart Sortino/√2	-0.09	-0.06
Omega	0.95	0.95
Max Drawdown	-15.87%	-14.75%
Longest DD Days	270	148
Volatility (ann.)	10.06%	10.72%
R^2	0.64	0.64
Information Ratio	-0.0	-0.0
Calmar	0.31	0.35
Skew	-8.94	-4.15
Kurtosis	216.29	175.67
Expected Daily	0.02%	0.02%
Expected Monthly	0.4%	0.42%
Expected Yearly	4.03%	4.32%
Kelly Criterion	0.93%	6.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.02%	-1.09%
Expected Shortfall (cVaR)	-1.02%	-1.09%
Max Consecutive Wins	13	8
Max Consecutive Losses	7	5
Gain/Pain Ratio	0.24	0.21
Gain/Pain (1M)	0.86	1.4
Payoff Ratio	0.77	0.94
Profit Factor	1.24	1.21
Common Sense Ratio	1.89	1.59
CPC Index	0.54	0.63
Tail Ratio	1.53	1.31
Outlier Win Ratio	5.15	4.23
Outlier Loss Ratio	4.8	4.32
MTD	1.13%	1.67%
3M	9.89%	9.14%
6M	5.78%	5.71%
YTD	4.41%	5.01%
1Y	5.36%	6.3%
3Y (ann.)	4.85%	5.2%
5Y (ann.)	4.85%	5.2%
10Y (ann.)	4.85%	5.2%
All-time (ann.)	4.85%	5.2%
Best Day	6.22%	8.83%
Worst Day	-11.76%	-11.2%
Best Month	8.13%	4.76%
Worst Month	-8.55%	-6.05%
Best Year	7.66%	6.51%
Worst Year	0.16%	1.48%
Avg. Drawdown	-0.67%	-0.62%
Avg. Drawdown Days	17	13
Recovery Factor	0.79	0.92
Ulcer Index	0.02	0.02
Serenity Index	0.5	0.88
Avg. Up Month	1.59%	1.31%
Avg. Down Month	-1.73%	-1.15%
Win Days	56.97%	54.55%
Win Month	63.33%	66.67%
Win Quarter	63.64%	81.82%
Win Year	100.0%	100.0%
Beta	0.75	-
Alpha	0.01	-
Correlation	80.09%	-
Treynor Ratio	7.43%	-