FXIM USD[Strategy] vs [Benchmark] DE000SLA7Z31 USD

20 Nov, 2020 - 10 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	24.0%	99.0%
Cumulative Return	12.17%	142.66%
CAGR﹪	2.22%	18.48%
Sharpe	-0.4	0.55
Prob. Sharpe Ratio	2.84%	26.18%
Smart Sharpe	-0.37	0.51
Sortino	-0.53	0.79
Smart Sortino	-0.49	0.73
Sortino/√2	-0.37	0.56
Smart Sortino/√2	-0.35	0.51
Omega	0.88	0.88
Max Drawdown	-23.69%	-37.5%
Longest DD Days	1503	714
Volatility (ann.)	10.23%	23.57%
R^2	0.09	0.09
Information Ratio	-0.05	-0.05
Calmar	0.09	0.49
Skew	-1.95	0.25
Kurtosis	36.08	5.31
Expected Daily	0.01%	0.07%
Expected Monthly	0.18%	1.39%
Expected Yearly	1.65%	13.5%
Kelly Criterion	4.45%	4.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.05%	-2.36%
Expected Shortfall (cVaR)	-1.05%	-2.36%
Max Consecutive Wins	8	10
Max Consecutive Losses	9	7
Gain/Pain Ratio	0.1	0.16
Gain/Pain (1M)	0.51	1.05
Payoff Ratio	0.97	0.88
Profit Factor	1.1	1.16
Common Sense Ratio	1.3	1.13
CPC Index	0.56	0.56
Tail Ratio	1.19	0.97
Outlier Win Ratio	20.63	2.75
Outlier Loss Ratio	3.18	2.82
MTD	0.0%	-1.71%
3M	0.0%	-1.9%
6M	0.0%	4.34%
YTD	0.0%	-2.61%
1Y	0.0%	20.56%
3Y (ann.)	0.0%	33.84%
5Y (ann.)	0.86%	17.88%
10Y (ann.)	2.22%	18.48%
All-time (ann.)	2.22%	18.48%
Best Day	4.24%	12.7%
Worst Day	-9.01%	-6.1%
Best Month	6.81%	11.67%
Worst Month	-11.18%	-12.71%
Best Year	29.99%	57.28%
Worst Year	-19.22%	-33.39%
Avg. Drawdown	-2.54%	-2.69%
Avg. Drawdown Days	55	21
Recovery Factor	0.51	3.8
Ulcer Index	0.18	0.14
Serenity Index	0.01	0.55
Avg. Up Month	4.19%	4.05%
Avg. Down Month	-5.58%	-4.08%
Win Days	53.0%	55.08%
Win Month	62.5%	64.06%
Win Quarter	83.33%	72.73%
Win Year	66.67%	71.43%
Beta	0.13	-
Alpha	0.0	-
Correlation	29.9%	-
Treynor Ratio	39.82%	-