VTBI RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

28 Jul, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-0.22%	12.96%
CAGR﹪	-0.38%	23.34%
Sharpe	0.39	1.31
Prob. Sharpe Ratio	62.54%	87.32%
Smart Sharpe	0.13	0.45
Sortino	0.74	2.68
Smart Sortino	0.25	0.91
Sortino/√2	0.52	1.89
Smart Sortino/√2	0.18	0.65
Omega	1.26	1.26
Max Drawdown	-38.04%	-6.41%
Longest DD Days	154	91
Volatility (ann.)	88.25%	16.82%
R^2	0.17	0.17
Information Ratio	0.01	0.01
Calmar	-0.01	3.64
Skew	5.44	3.24
Kurtosis	84.33	22.86
Expected Daily	-0.0%	0.08%
Expected Monthly	-0.03%	1.53%
Expected Yearly	-0.11%	6.28%
Kelly Criterion	1.49%	9.68%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-9.01%	-1.66%
Expected Shortfall (cVaR)	-9.01%	-1.66%
Max Consecutive Wins	3	5
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.26	0.31
Gain/Pain (1M)	3.03	3.71
Payoff Ratio	1.2	1.44
Profit Factor	1.26	1.31
Common Sense Ratio	1.66	2.26
CPC Index	0.7	0.88
Tail Ratio	1.32	1.73
Outlier Win Ratio	2.03	3.68
Outlier Loss Ratio	2.08	3.92
MTD	-0.41%	7.35%
3M	1.05%	10.68%
6M	-0.45%	12.57%
YTD	0.81%	11.14%
1Y	-0.22%	12.96%
3Y (ann.)	-0.38%	23.34%
5Y (ann.)	-0.38%	23.34%
10Y (ann.)	-0.38%	23.34%
All-time (ann.)	-0.38%	23.34%
Best Day	56.74%	8.19%
Worst Day	-35.42%	-2.64%
Best Month	5.57%	7.35%
Worst Month	-3.31%	-2.45%
Best Year	0.81%	11.14%
Worst Year	-1.02%	1.64%
Avg. Drawdown	-11.89%	-2.19%
Avg. Drawdown Days	51	16
Recovery Factor	-0.01	2.02
Ulcer Index	0.05	0.03
Serenity Index	-0.03	1.08
Avg. Up Month	2.4%	2.66%
Avg. Down Month	-2.15%	-1.18%
Win Days	46.26%	46.62%
Win Month	37.5%	62.5%
Win Quarter	66.67%	66.67%
Win Year	50.0%	100.0%
Beta	-2.17	-
Alpha	0.82	-
Correlation	-41.44%	-
Treynor Ratio	0.1%	-