VTBB RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

27 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	26.55%	-13.9%
CAGR﹪	7.18%	-4.31%
Sharpe	0.88	-0.14
Prob. Sharpe Ratio	88.14%	40.26%
Smart Sharpe	0.73	-0.11
Sortino	1.07	-0.21
Smart Sortino	0.89	-0.18
Sortino/√2	0.76	-0.15
Smart Sortino/√2	0.63	-0.12
Omega	1.4	1.4
Max Drawdown	-15.87%	-39.65%
Longest DD Days	270	707
Volatility (ann.)	8.55%	19.49%
R^2	0.07	0.07
Information Ratio	0.03	0.03
Calmar	0.45	-0.11
Skew	-10.79	1.61
Kurtosis	300.03	19.34
Expected Daily	0.03%	-0.02%
Expected Monthly	0.56%	-0.36%
Expected Yearly	6.06%	-3.67%
Kelly Criterion	26.79%	-13.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-2.03%
Expected Shortfall (cVaR)	-0.86%	-2.03%
Max Consecutive Wins	13	7
Max Consecutive Losses	7	9
Gain/Pain Ratio	0.4	-0.03
Gain/Pain (1M)	1.61	-0.1
Payoff Ratio	1.21	0.86
Profit Factor	1.4	0.97
Common Sense Ratio	2.15	1.0
CPC Index	1.01	0.4
Tail Ratio	1.54	1.03
Outlier Win Ratio	12.81	2.95
Outlier Loss Ratio	10.96	3.07
MTD	1.13%	10.1%
3M	9.89%	-25.87%
6M	5.78%	-26.13%
YTD	4.41%	-24.15%
1Y	5.36%	-23.83%
3Y (ann.)	6.31%	-5.38%
5Y (ann.)	7.18%	-4.31%
10Y (ann.)	7.18%	-4.31%
All-time (ann.)	7.18%	-4.31%
Best Day	6.22%	10.7%
Worst Day	-11.76%	-6.67%
Best Month	5.61%	17.19%
Worst Month	-8.55%	-16.34%
Best Year	11.79%	20.05%
Worst Year	0.16%	-24.15%
Avg. Drawdown	-0.4%	-12.15%
Avg. Drawdown Days	10	202
Recovery Factor	1.67	-0.35
Ulcer Index	0.02	0.11
Serenity Index	2.69	-0.08
Avg. Up Month	0.99%	2.49%
Avg. Down Month	-0.37%	-1.31%
Win Days	59.87%	47.69%
Win Month	71.43%	52.38%
Win Quarter	73.33%	46.67%
Win Year	100.0%	50.0%
Beta	-0.11	-
Alpha	0.07	-
Correlation	-26.04%	-
Treynor Ratio	-232.57%	-