VTBE[Strategy] vs RUB Inflation[Benchmark]

29 Jul, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	43.05%	16.77%
CAGR﹪	14.88%	6.19%
Sharpe	0.67	21.06
Prob. Sharpe Ratio	86.04%	100.0%
Smart Sharpe	0.47	14.67
Sortino	0.99	150.11
Smart Sortino	0.69	104.59
Sortino/√2	0.7	106.14
Smart Sortino/√2	0.49	73.96
Omega	1.17	1.17
Max Drawdown	-26.09%	-0.4%
Longest DD Days	373	120
Volatility (ann.)	25.55%	0.29%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.57	15.49
Skew	1.18	0.03
Kurtosis	91.42	-0.48
Expected Daily	0.06%	0.02%
Expected Monthly	1.13%	0.49%
Expected Yearly	9.36%	3.95%
Kelly Criterion	19.56%	83.97%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.58%	-0.01%
Expected Shortfall (cVaR)	-2.58%	-0.01%
Max Consecutive Wins	11	353
Max Consecutive Losses	6	43
Gain/Pain Ratio	0.17	30.38
Gain/Pain (1M)	1.84	30.38
Payoff Ratio	1.3	4.81
Profit Factor	1.17	31.38
Common Sense Ratio	1.34	216.41
CPC Index	0.83	131.01
Tail Ratio	1.15	6.9
Outlier Win Ratio	1.76	52.05
Outlier Loss Ratio	1.68	247.57
MTD	-1.14%	1.17%
3M	0.7%	3.2%
6M	0.85%	5.82%
YTD	2.29%	2.17%
1Y	-4.72%	9.24%
3Y (ann.)	14.88%	6.19%
5Y (ann.)	14.88%	6.19%
10Y (ann.)	14.88%	6.19%
All-time (ann.)	14.88%	6.19%
Best Day	22.48%	0.07%
Worst Day	-19.39%	-0.01%
Best Month	12.88%	1.17%
Worst Month	-5.47%	-0.24%
Best Year	36.66%	8.39%
Worst Year	-2.49%	0.5%
Avg. Drawdown	-3.11%	-0.25%
Avg. Drawdown Days	31	93
Recovery Factor	1.65	41.97
Ulcer Index	0.07	0.0
Serenity Index	0.84	17.62
Avg. Up Month	3.68%	0.56%
Avg. Down Month	-0.42%	-0.2%
Win Days	54.57%	86.73%
Win Month	56.25%	87.5%
Win Quarter	72.73%	90.91%
Win Year	75.0%	100.0%
Beta	-0.05	-
Alpha	0.17	-
Correlation	-0.05%	-
Treynor Ratio	-948.7%	-