VTBE RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

8 Aug, 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	49.13%	27.6%
CAGR﹪	16.94%	10.02%
Sharpe	0.74	0.73
Prob. Sharpe Ratio	88.24%	88.8%
Smart Sharpe	0.51	0.5
Sortino	1.1	1.27
Smart Sortino	0.76	0.88
Sortino/√2	0.78	0.9
Smart Sortino/√2	0.54	0.62
Omega	1.19	1.19
Max Drawdown	-26.09%	-15.67%
Longest DD Days	373	707
Volatility (ann.)	25.55%	14.61%
R^2	0.05	0.05
Information Ratio	0.02	0.02
Calmar	0.65	0.64
Skew	1.2	2.13
Kurtosis	92.48	15.73
Expected Daily	0.06%	0.04%
Expected Monthly	1.3%	0.79%
Expected Yearly	10.51%	6.28%
Kelly Criterion	16.11%	4.82%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.57%	-1.47%
Expected Shortfall (cVaR)	-2.57%	-1.47%
Max Consecutive Wins	11	6
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.19	0.15
Gain/Pain (1M)	2.22	0.81
Payoff Ratio	1.17	1.23
Profit Factor	1.19	1.15
Common Sense Ratio	1.36	1.39
CPC Index	0.76	0.67
Tail Ratio	1.14	1.21
Outlier Win Ratio	3.24	3.98
Outlier Loss Ratio	2.66	4.22
MTD	-1.14%	7.35%
3M	0.7%	10.68%
6M	0.85%	12.57%
YTD	2.29%	11.14%
1Y	-4.72%	12.86%
3Y (ann.)	16.94%	10.02%
5Y (ann.)	16.94%	10.02%
10Y (ann.)	16.94%	10.02%
All-time (ann.)	16.94%	10.02%
Best Day	22.48%	8.19%
Worst Day	-19.39%	-3.01%
Best Month	12.88%	17.19%
Worst Month	-5.47%	-5.72%
Best Year	36.66%	20.05%
Worst Year	-2.49%	-4.7%
Avg. Drawdown	-2.82%	-6.15%
Avg. Drawdown Days	27	182
Recovery Factor	1.88	1.76
Ulcer Index	0.07	0.08
Serenity Index	0.95	0.25
Avg. Up Month	3.48%	2.36%
Avg. Down Month	-1.53%	-2.28%
Win Days	54.79%	47.57%
Win Month	61.29%	54.84%
Win Quarter	81.82%	45.45%
Win Year	75.0%	75.0%
Beta	-0.37	-
Alpha	0.23	-
Correlation	-21.22%	-
Treynor Ratio	-132.39%	-