VTBI USD[Strategy] vs ^SP500TR USD[Benchmark]

27 Jul, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	94.0%	100.0%
Cumulative Return	-60.12%	0.45%
CAGR﹪	-79.3%	0.78%
Sharpe	-3.12	-4.48
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.31	-1.89
Sortino	-3.07	-5.06
Smart Sortino	-1.29	-2.13
Sortino/√2	-2.17	-3.58
Smart Sortino/√2	-0.91	-1.5
Omega	0.1	0.1
Max Drawdown	-60.35%	-10.4%
Longest DD Days	203	52
Volatility (ann.)	64.67%	15.05%
R^2	0.01	0.01
Information Ratio	-0.12	-0.12
Calmar	-1.31	0.07
Skew	-8.24	-0.19
Kurtosis	68.25	0.21
Expected Daily	-0.63%	0.0%
Expected Monthly	-10.86%	0.06%
Expected Yearly	-36.85%	0.23%
Kelly Criterion	-132.99%	3.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-7.23%	-1.55%
Expected Shortfall (cVaR)	-7.23%	-1.55%
Max Consecutive Wins	4	7
Max Consecutive Losses	5	5
Gain/Pain Ratio	-0.75	0.02
Gain/Pain (1M)	-0.98	0.08
Payoff Ratio	0.32	0.91
Profit Factor	0.25	1.02
Common Sense Ratio	0.16	0.85
CPC Index	0.04	0.5
Tail Ratio	0.65	0.83
Outlier Win Ratio	4.51	2.52
Outlier Loss Ratio	7.87	13.42
MTD	-58.37%	-2.77%
3M	-58.75%	-6.4%
6M	-60.03%	-1.57%
YTD	-58.97%	-8.04%
1Y	-60.12%	0.45%
3Y (ann.)	-79.3%	0.78%
5Y (ann.)	-79.3%	0.78%
10Y (ann.)	-79.3%	0.78%
All-time (ann.)	-79.3%	0.78%
Best Day	1.76%	2.45%
Worst Day	-36.32%	-2.43%
Best Month	0.83%	7.01%
Worst Month	-58.37%	-5.42%
Best Year	-2.81%	9.23%
Worst Year	-58.97%	-8.04%
Avg. Drawdown	-15.35%	-1.63%
Avg. Drawdown Days	52	9
Recovery Factor	-1.0	0.04
Ulcer Index	0.07	0.04
Serenity Index	-7.33	-3.83
Avg. Up Month	0.3%	3.04%
Avg. Down Month	-15.45%	-3.24%
Win Days	44.12%	54.17%
Win Month	25.0%	37.5%
Win Quarter	0.0%	33.33%
Win Year	0.0%	50.0%
Beta	-0.47	-
Alpha	-1.31	-
Correlation	-10.85%	-
Treynor Ratio	343.4%	-