VTBX RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

10 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	-9.47%	-20.66%
CAGR﹪	-4.12%	-9.33%
Sharpe	-0.01	-0.34
Prob. Sharpe Ratio	49.38%	30.72%
Smart Sharpe	-0.01	-0.33
Sortino	-0.01	-0.52
Smart Sortino	-0.01	-0.51
Sortino/√2	-0.01	-0.37
Smart Sortino/√2	-0.01	-0.36
Omega	1.0	1.0
Max Drawdown	-52.16%	-39.65%
Longest DD Days	273	707
Volatility (ann.)	28.29%	22.52%
R^2	0.03	0.03
Information Ratio	0.01	0.01
Calmar	-0.08	-0.24
Skew	-1.37	1.49
Kurtosis	13.27	15.06
Expected Daily	-0.02%	-0.04%
Expected Monthly	-0.34%	-0.79%
Expected Yearly	-3.26%	-7.42%
Kelly Criterion	-0.32%	-31.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.93%	-2.36%
Expected Shortfall (cVaR)	-2.93%	-2.36%
Max Consecutive Wins	9	5
Max Consecutive Losses	6	9
Gain/Pain Ratio	-0.0	-0.07
Gain/Pain (1M)	-0.01	-0.24
Payoff Ratio	0.82	0.7
Profit Factor	1.0	0.93
Common Sense Ratio	0.85	0.96
CPC Index	0.45	0.3
Tail Ratio	0.85	1.03
Outlier Win Ratio	4.06	4.6
Outlier Loss Ratio	3.62	5.65
MTD	-6.82%	10.1%
3M	-11.3%	-25.87%
6M	-41.02%	-26.13%
YTD	-46.25%	-24.15%
1Y	-44.29%	-23.83%
3Y (ann.)	-4.12%	-9.33%
5Y (ann.)	-4.12%	-9.33%
10Y (ann.)	-4.12%	-9.33%
All-time (ann.)	-4.12%	-9.33%
Best Day	10.2%	10.7%
Worst Day	-13.96%	-6.67%
Best Month	15.17%	10.1%
Worst Month	-32.01%	-16.34%
Best Year	39.5%	4.22%
Worst Year	-46.25%	-24.15%
Avg. Drawdown	-3.4%	-19.44%
Avg. Drawdown Days	18	286
Recovery Factor	-0.18	-0.52
Ulcer Index	0.18	0.13
Serenity Index	-0.03	-0.1
Avg. Up Month	4.3%	2.51%
Avg. Down Month	-6.55%	-14.79%
Win Days	54.95%	45.82%
Win Month	62.07%	51.72%
Win Quarter	63.64%	54.55%
Win Year	66.67%	66.67%
Beta	-0.22	-
Alpha	-0.02	-
Correlation	-17.79%	-
Treynor Ratio	42.38%	-