VTBH RUB[Strategy] vs FXGD RUB[Benchmark]

5 Aug, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	26.06%	42.03%
CAGR﹪	9.46%	14.68%
Sharpe	0.22	0.58
Prob. Sharpe Ratio	13.28%	6.17%
Smart Sharpe	0.12	0.31
Sortino	0.36	5.58
Smart Sortino	0.19	2.98
Sortino/√2	0.26	3.95
Smart Sortino/√2	0.14	2.11
Omega	1.09	1.09
Max Drawdown	-27.89%	-91.02%
Longest DD Days	268	479
Volatility (ann.)	29.57%	561.62%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.34	0.16
Skew	5.32	24.88
Kurtosis	230.39	627.64
Expected Daily	0.04%	0.05%
Expected Monthly	0.75%	1.14%
Expected Yearly	5.96%	9.17%
Kelly Criterion	6.58%	-12.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.01%	-56.88%
Expected Shortfall (cVaR)	-3.01%	-56.88%
Max Consecutive Wins	9	10
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.18	2.49
Gain/Pain (1M)	2.24	19.66
Payoff Ratio	1.2	0.73
Profit Factor	1.18	3.49
Common Sense Ratio	1.27	3.86
CPC Index	0.69	1.34
Tail Ratio	1.07	1.11
Outlier Win Ratio	4.33	0.87
Outlier Loss Ratio	4.62	2.36
MTD	-0.69%	0.43%
3M	2.28%	4.33%
6M	1.84%	4.85%
YTD	-0.08%	3.01%
1Y	4.14%	4.89%
3Y (ann.)	9.46%	14.68%
5Y (ann.)	9.46%	14.68%
10Y (ann.)	9.46%	14.68%
All-time (ann.)	9.46%	14.68%
Best Day	34.01%	891.28%
Worst Day	-25.87%	-90.07%
Best Month	8.95%	17.82%
Worst Month	-2.95%	-8.71%
Best Year	23.75%	47.34%
Worst Year	-1.18%	-4.43%
Avg. Drawdown	-3.56%	-11.59%
Avg. Drawdown Days	38	74
Recovery Factor	0.93	0.46
Ulcer Index	0.04	0.11
Serenity Index	1.46	6.21
Avg. Up Month	2.59%	5.23%
Avg. Down Month	-1.63%	-3.17%
Win Days	49.13%	52.56%
Win Month	64.52%	58.06%
Win Quarter	63.64%	45.45%
Win Year	50.0%	50.0%
Beta	-0.0	-
Alpha	0.13	-
Correlation	-0.18%	-
Treynor Ratio	-199581.04%	-