VTBL EUR[Strategy] vs Deposit RUB[Benchmark]

20 Jan, 2022 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	97.0%
Cumulative Return	-26.6%	1.28%
CAGR﹪	-95.65%	13.79%
Sharpe	-5.09	36.62
Prob. Sharpe Ratio	0.07%	-
Smart Sharpe	-2.16	15.54
Sortino	-5.02	-
Smart Sortino	-2.13	-
Sortino/√2	-3.55	-
Smart Sortino/√2	-1.51	-
Omega	0.23	0.23
Max Drawdown	-26.98%	-
Longest DD Days	-	-
Volatility (ann.)	55.4%	0.34%
R^2	0.01	0.01
Information Ratio	-0.33	-0.33
Calmar	-3.55	-
Skew	-3.12	0.43
Kurtosis	10.75	-0.08
Expected Daily	-1.18%	0.05%
Expected Monthly	-14.32%	0.64%
Expected Yearly	-26.6%	1.28%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.86%	-0.01%
Expected Shortfall (cVaR)	-6.86%	-0.01%
Max Consecutive Wins	3	25
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.77	-
Gain/Pain (1M)	-1.0	-
Payoff Ratio	-	-
Profit Factor	0.23	-
Common Sense Ratio	0.05	-
CPC Index	-	-
Tail Ratio	0.22	2.23
Outlier Win Ratio	1.04	18.57
Outlier Loss Ratio	2.85	-
MTD	-25.63%	0.71%
3M	-26.6%	1.28%
6M	-26.6%	1.28%
YTD	-26.6%	1.28%
1Y	-26.6%	1.28%
3Y (ann.)	-95.65%	13.79%
5Y (ann.)	-95.65%	13.79%
10Y (ann.)	-95.65%	13.79%
All-time (ann.)	-95.65%	13.79%
Best Day	1.76%	0.08%
Worst Day	-15.0%	0.0%
Best Month	-1.3%	0.71%
Worst Month	-25.63%	0.57%
Best Year	-26.6%	1.28%
Worst Year	-26.6%	1.28%
Avg. Drawdown	-26.98%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.99	-
Ulcer Index	0.07	0.0
Serenity Index	-1.1	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	33.33%	100.0%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	19.21	-
Alpha	-5.19	-
Correlation	11.7%	-
Treynor Ratio	-1.38%	-