VTBX[Strategy] vs RUB Inflation[Benchmark]

2 Mar, 2020 - 21 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-18.42%	25.24%
CAGR﹪	-8.18%	9.89%
Sharpe	-0.16	1.98
Prob. Sharpe Ratio	40.23%	100.0%
Smart Sharpe	-0.16	1.96
Sortino	-0.21	117.55
Smart Sortino	-0.2	116.41
Sortino/√2	-0.15	83.12
Smart Sortino/√2	-0.14	82.31
Omega	0.97	0.97
Max Drawdown	-52.16%	-0.74%
Longest DD Days	273	66
Volatility (ann.)	28.71%	5.01%
R^2	0.05	0.05
Information Ratio	-0.03	-0.03
Calmar	-0.16	13.39
Skew	-1.41	23.91
Kurtosis	12.71	574.57
Expected Daily	-0.04%	0.04%
Expected Monthly	-0.7%	0.78%
Expected Yearly	-6.56%	7.79%
Kelly Criterion	10.42%	83.67%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.99%	-0.48%
Expected Shortfall (cVaR)	-2.99%	-0.48%
Max Consecutive Wins	9	397
Max Consecutive Losses	6	43
Gain/Pain Ratio	-0.03	26.77
Gain/Pain (1M)	-0.12	26.77
Payoff Ratio	1.03	5.08
Profit Factor	0.97	27.77
Common Sense Ratio	0.8	107.52
CPC Index	0.54	121.71
Tail Ratio	0.83	3.87
Outlier Win Ratio	2.07	44.37
Outlier Loss Ratio	2.5	299.5
MTD	-6.82%	-0.39%
3M	-11.3%	-0.11%
6M	-41.02%	10.26%
YTD	-46.25%	10.97%
1Y	-44.29%	15.22%
3Y (ann.)	-8.18%	9.89%
5Y (ann.)	-8.18%	9.89%
10Y (ann.)	-8.18%	9.89%
All-time (ann.)	-8.18%	9.89%
Best Day	10.2%	7.61%
Worst Day	-13.96%	-0.03%
Best Month	15.17%	7.61%
Worst Month	-32.01%	-0.39%
Best Year	25.7%	10.97%
Worst Year	-46.25%	4.12%
Avg. Drawdown	-3.71%	-0.42%
Avg. Drawdown Days	21	58
Recovery Factor	-0.35	34.18
Ulcer Index	0.18	0.0
Serenity Index	-0.05	422.02
Avg. Up Month	4.94%	1.03%
Avg. Down Month	-4.63%	-0.27%
Win Days	54.64%	86.36%
Win Month	58.62%	86.21%
Win Quarter	54.55%	90.91%
Win Year	66.67%	100.0%
Beta	1.32	-
Alpha	-0.18	-
Correlation	23.1%	-
Treynor Ratio	-13.92%	-