VTBH RUB[Strategy] vs AKSP RUB[Benchmark]

15 Jul, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	99.0%
Cumulative Return	1.4%	4.79%
CAGR﹪	2.29%	7.88%
Sharpe	0.18	0.2
Prob. Sharpe Ratio	25.61%	28.24%
Smart Sharpe	0.07	0.08
Sortino	0.3	0.29
Smart Sortino	0.12	0.12
Sortino/√2	0.21	0.21
Smart Sortino/√2	0.09	0.08
Omega	1.1	1.1
Max Drawdown	-27.89%	-20.65%
Longest DD Days	127	108
Volatility (ann.)	55.13%	36.08%
R^2	0.5	0.5
Information Ratio	0.0	0.0
Calmar	0.08	0.38
Skew	3.34	0.54
Kurtosis	77.91	18.16
Expected Daily	0.01%	0.03%
Expected Monthly	0.17%	0.59%
Expected Yearly	0.7%	2.37%
Kelly Criterion	6.6%	11.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.65%	-3.68%
Expected Shortfall (cVaR)	-5.65%	-3.68%
Max Consecutive Wins	5	7
Max Consecutive Losses	9	6
Gain/Pain Ratio	0.18	0.1
Gain/Pain (1M)	2.14	1.0
Payoff Ratio	1.31	1.39
Profit Factor	1.18	1.1
Common Sense Ratio	1.44	1.08
CPC Index	0.72	0.74
Tail Ratio	1.22	0.98
Outlier Win Ratio	5.93	4.41
Outlier Loss Ratio	6.06	4.11
MTD	-0.69%	-2.27%
3M	2.28%	-3.8%
6M	1.84%	2.16%
YTD	-0.08%	-5.9%
1Y	1.4%	4.79%
3Y (ann.)	2.29%	7.88%
5Y (ann.)	2.29%	7.88%
10Y (ann.)	2.29%	7.88%
All-time (ann.)	2.29%	7.88%
Best Day	34.01%	14.12%
Worst Day	-25.87%	-12.97%
Best Month	3.39%	5.1%
Worst Month	-2.95%	-5.38%
Best Year	1.49%	11.36%
Worst Year	-0.08%	-5.9%
Avg. Drawdown	-5.74%	-4.6%
Avg. Drawdown Days	30	23
Recovery Factor	0.05	0.23
Ulcer Index	0.03	0.07
Serenity Index	-0.89	-0.05
Avg. Up Month	2.18%	4.36%
Avg. Down Month	-0.89%	-2.61%
Win Days	47.06%	48.39%
Win Month	50.0%	50.0%
Win Quarter	33.33%	33.33%
Win Year	50.0%	50.0%
Beta	1.08	-
Alpha	0.02	-
Correlation	70.48%	-
Treynor Ratio	-5.2%	-