VTBU[Strategy] vs RUB Inflation[Benchmark]

6 Mar, 2020 - 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	-10.58%	15.31%
CAGR﹪	-5.51%	7.48%
Sharpe	-0.09	27.77
Prob. Sharpe Ratio	44.78%	100.0%
Smart Sharpe	-0.08	23.17
Sortino	-0.11	587.11
Smart Sortino	-0.09	489.7
Sortino/√2	-0.08	415.15
Smart Sortino/√2	-0.06	346.27
Omega	0.98	0.98
Max Drawdown	-31.85%	-0.11%
Longest DD Days	479	66
Volatility (ann.)	24.71%	0.26%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	-0.17	67.98
Skew	-9.69	-0.17
Kurtosis	176.73	-0.38
Expected Daily	-0.02%	0.03%
Expected Monthly	-0.47%	0.6%
Expected Yearly	-3.66%	4.86%
Kelly Criterion	3.88%	90.62%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.57%	-0.0%
Expected Shortfall (cVaR)	-2.57%	-0.0%
Max Consecutive Wins	5	353
Max Consecutive Losses	6	43
Gain/Pain Ratio	-0.02	129.46
Gain/Pain (1M)	-0.14	129.46
Payoff Ratio	1.16	12.54
Profit Factor	0.98	130.46
Common Sense Ratio	1.09	3600.7
CPC Index	0.55	1494.17
Tail Ratio	1.12	27.6
Outlier Win Ratio	2.08	47.58
Outlier Loss Ratio	1.71	475.82
MTD	-21.06%	1.17%
3M	-22.48%	3.2%
6M	-21.66%	5.82%
YTD	-21.79%	2.17%
1Y	-20.82%	9.24%
3Y (ann.)	-5.51%	7.48%
5Y (ann.)	-5.51%	7.48%
10Y (ann.)	-5.51%	7.48%
All-time (ann.)	-5.51%	7.48%
Best Day	8.48%	0.06%
Worst Day	-26.7%	-0.0%
Best Month	7.16%	1.17%
Worst Month	-21.06%	-0.07%
Best Year	14.07%	8.39%
Worst Year	-21.79%	2.17%
Avg. Drawdown	-5.13%	-0.11%
Avg. Drawdown Days	57	66
Recovery Factor	-0.33	139.19
Ulcer Index	0.06	0.0
Serenity Index	-0.3	402.65
Avg. Up Month	1.91%	0.52%
Avg. Down Month	-	-
Win Days	48.37%	91.31%
Win Month	54.17%	91.67%
Win Quarter	44.44%	100.0%
Win Year	66.67%	100.0%
Beta	-7.21	-
Alpha	0.5	-
Correlation	-7.6%	-
Treynor Ratio	1.47%	-