VTBH[Strategy] vs RUB Inflation[Benchmark]

30 Jul, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	27.73%	16.73%
CAGR﹪	9.96%	6.18%
Sharpe	0.47	20.93
Prob. Sharpe Ratio	78.52%	100.0%
Smart Sharpe	0.25	11.19
Sortino	0.77	149.9
Smart Sortino	0.41	80.14
Sortino/√2	0.54	106.0
Smart Sortino/√2	0.29	56.67
Omega	1.19	1.19
Max Drawdown	-27.89%	-0.4%
Longest DD Days	268	120
Volatility (ann.)	29.44%	0.29%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.36	15.48
Skew	5.34	0.11
Kurtosis	232.04	-0.15
Expected Daily	0.04%	0.02%
Expected Monthly	0.77%	0.48%
Expected Yearly	6.31%	3.94%
Kelly Criterion	13.8%	84.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.0%	-0.01%
Expected Shortfall (cVaR)	-3.0%	-0.01%
Max Consecutive Wins	9	353
Max Consecutive Losses	9	43
Gain/Pain Ratio	0.19	30.32
Gain/Pain (1M)	2.33	30.32
Payoff Ratio	1.44	5.19
Profit Factor	1.19	31.32
Common Sense Ratio	1.29	215.96
CPC Index	0.84	141.0
Tail Ratio	1.08	6.9
Outlier Win Ratio	1.95	47.03
Outlier Loss Ratio	1.72	167.49
MTD	-0.69%	1.17%
3M	2.28%	3.2%
6M	1.84%	5.82%
YTD	-0.08%	2.17%
1Y	4.14%	9.24%
3Y (ann.)	9.96%	6.18%
5Y (ann.)	9.96%	6.18%
10Y (ann.)	9.96%	6.18%
All-time (ann.)	9.96%	6.18%
Best Day	34.01%	0.1%
Worst Day	-25.87%	-0.01%
Best Month	8.95%	1.17%
Worst Month	-2.95%	-0.24%
Best Year	23.75%	8.39%
Worst Year	-0.08%	0.47%
Avg. Drawdown	-3.61%	-0.25%
Avg. Drawdown Days	38	93
Recovery Factor	0.99	41.87
Ulcer Index	0.04	0.0
Serenity Index	2.13	17.66
Avg. Up Month	1.82%	0.51%
Avg. Down Month	-2.74%	-0.16%
Win Days	49.13%	86.71%
Win Month	65.62%	87.5%
Win Quarter	63.64%	90.91%
Win Year	75.0%	100.0%
Beta	0.33	-
Alpha	0.12	-
Correlation	0.32%	-
Treynor Ratio	84.8%	-