VTBF[Strategy] vs RUB Inflation[Benchmark]

27 Sep, 2021 - 21 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-38.71%	14.72%
CAGR﹪	-45.21%	18.39%
Sharpe	-1.59	2.17
Prob. Sharpe Ratio	6.02%	100.0%
Smart Sharpe	-1.33	1.83
Sortino	-1.83	130.22
Smart Sortino	-1.54	109.64
Sortino/√2	-1.3	92.08
Smart Sortino/√2	-1.09	77.53
Omega	0.7	0.7
Max Drawdown	-41.62%	-0.74%
Longest DD Days	274	50
Volatility (ann.)	37.92%	8.93%
R^2	0.08	0.08
Information Ratio	-0.14	-0.14
Calmar	-1.09	24.89
Skew	-3.09	13.41
Kurtosis	24.13	180.53
Expected Daily	-0.27%	0.08%
Expected Monthly	-4.35%	1.26%
Expected Yearly	-21.71%	7.11%
Kelly Criterion	-0.18%	77.5%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.17%	-0.85%
Expected Shortfall (cVaR)	-4.17%	-0.85%
Max Consecutive Wins	7	145
Max Consecutive Losses	5	36
Gain/Pain Ratio	-0.3	18.9
Gain/Pain (1M)	-0.76	18.9
Payoff Ratio	1.1	7.6
Profit Factor	0.7	19.9
Common Sense Ratio	0.46	56.34
CPC Index	0.36	121.24
Tail Ratio	0.67	2.83
Outlier Win Ratio	2.03	22.68
Outlier Loss Ratio	2.12	156.28
MTD	-5.6%	-0.39%
3M	-3.85%	-0.11%
6M	-31.68%	10.26%
YTD	-35.3%	10.97%
1Y	-38.71%	14.72%
3Y (ann.)	-45.21%	18.39%
5Y (ann.)	-45.21%	18.39%
10Y (ann.)	-45.21%	18.39%
All-time (ann.)	-45.21%	18.39%
Best Day	8.78%	7.61%
Worst Day	-18.7%	-0.03%
Best Month	8.78%	7.61%
Worst Month	-28.39%	-0.39%
Best Year	-5.27%	10.97%
Worst Year	-35.3%	3.38%
Avg. Drawdown	-14.46%	-0.74%
Avg. Drawdown Days	96	50
Recovery Factor	-0.93	19.93
Ulcer Index	0.26	0.0
Serenity Index	-0.08	136.81
Avg. Up Month	4.47%	3.18%
Avg. Down Month	-3.37%	-0.37%
Win Days	47.49%	80.11%
Win Month	27.27%	81.82%
Win Quarter	0.0%	80.0%
Win Year	0.0%	100.0%
Beta	1.18	-
Alpha	-0.83	-
Correlation	27.77%	-
Treynor Ratio	-32.83%	-