FMUS RUB[Strategy] vs FXEM RUB[Benchmark]

21 Dec, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	8.65%	11.66%
CAGR﹪	58.24%	84.07%
Sharpe	1.17	2.52
Prob. Sharpe Ratio	54.34%	75.48%
Smart Sharpe	0.66	1.41
Sortino	2.14	3.95
Smart Sortino	1.2	2.22
Sortino/√2	1.52	2.79
Smart Sortino/√2	0.85	1.57
Omega	1.35	1.35
Max Drawdown	-10.7%	-4.8%
Longest DD Days	42	20
Volatility (ann.)	39.15%	22.28%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	5.44	17.5
Skew	2.19	-0.49
Kurtosis	16.49	3.0
Expected Daily	0.18%	0.24%
Expected Monthly	2.8%	3.75%
Expected Yearly	4.24%	5.67%
Kelly Criterion	17.31%	14.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.85%	-2.06%
Expected Shortfall (cVaR)	-3.85%	-2.06%
Max Consecutive Wins	8	5
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.41	0.65
Gain/Pain (1M)	192.35	-
Payoff Ratio	1.3	1.2
Profit Factor	1.41	1.65
Common Sense Ratio	1.53	3.46
CPC Index	0.97	1.05
Tail Ratio	1.09	2.1
Outlier Win Ratio	4.32	4.9
Outlier Loss Ratio	3.89	5.16
MTD	4.7%	2.46%
3M	8.65%	11.66%
6M	8.65%	11.66%
YTD	4.46%	7.21%
1Y	8.65%	11.66%
3Y (ann.)	58.24%	84.07%
5Y (ann.)	58.24%	84.07%
10Y (ann.)	58.24%	84.07%
All-time (ann.)	58.24%	84.07%
Best Day	12.69%	3.18%
Worst Day	-7.84%	-4.8%
Best Month	4.7%	4.64%
Worst Month	-0.23%	2.46%
Best Year	4.46%	7.21%
Worst Year	4.02%	4.16%
Avg. Drawdown	-4.49%	-1.56%
Avg. Drawdown Days	16	6
Recovery Factor	0.81	2.43
Ulcer Index	0.04	0.02
Serenity Index	0.16	1.22
Avg. Up Month	4.36%	3.31%
Avg. Down Month	-	-
Win Days	53.33%	53.33%
Win Month	66.67%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.1	-
Alpha	0.59	-
Correlation	-5.97%	-
Treynor Ratio	-15.75%	-