FXKZ RUB[Strategy] vs AKEU RUB[Benchmark]

8 Dec, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	99.0%
Cumulative Return	-6.34%	5.61%
CAGR﹪	-26.1%	28.71%
Sharpe	-1.35	1.13
Prob. Sharpe Ratio	14.34%	57.49%
Smart Sharpe	-1.24	1.04
Sortino	-1.61	1.79
Smart Sortino	-1.48	1.64
Sortino/√2	-1.14	1.26
Smart Sortino/√2	-1.05	1.16
Omega	0.77	0.77
Max Drawdown	-9.82%	-6.37%
Longest DD Days	25	50
Volatility (ann.)	24.95%	17.53%
R^2	0.07	0.07
Information Ratio	-0.1	-0.1
Calmar	-2.66	4.51
Skew	-1.47	0.24
Kurtosis	4.7	-0.48
Expected Daily	-0.12%	0.1%
Expected Monthly	-2.16%	1.84%
Expected Yearly	-3.22%	2.77%
Kelly Criterion	14.14%	9.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.69%	-1.71%
Expected Shortfall (cVaR)	-2.69%	-1.71%
Max Consecutive Wins	7	3
Max Consecutive Losses	5	5
Gain/Pain Ratio	-0.19	0.27
Gain/Pain (1M)	-0.66	512.95
Payoff Ratio	1.27	1.34
Profit Factor	0.81	1.27
Common Sense Ratio	0.68	1.42
CPC Index	0.54	0.82
Tail Ratio	0.83	1.12
Outlier Win Ratio	3.22	2.64
Outlier Loss Ratio	2.97	4.72
MTD	-8.9%	2.31%
3M	-6.34%	5.61%
6M	-6.34%	5.61%
YTD	-8.46%	2.16%
1Y	-6.34%	5.61%
3Y (ann.)	-26.1%	28.71%
5Y (ann.)	-26.1%	28.71%
10Y (ann.)	-26.1%	28.71%
All-time (ann.)	-26.1%	28.71%
Best Day	3.19%	2.71%
Worst Day	-6.32%	-1.95%
Best Month	2.32%	3.38%
Worst Month	-8.9%	-0.15%
Best Year	2.32%	3.38%
Worst Year	-8.46%	2.16%
Avg. Drawdown	-5.8%	-1.89%
Avg. Drawdown Days	16	14
Recovery Factor	-0.65	0.88
Ulcer Index	0.03	0.03
Serenity Index	-1.1	-0.08
Avg. Up Month	2.32%	3.38%
Avg. Down Month	-	-
Win Days	51.92%	48.15%
Win Month	66.67%	66.67%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.39	-
Alpha	-0.17	-
Correlation	-27.3%	-
Treynor Ratio	34.34%	-