FXKZ RUB[Strategy] vs IMOEX RUB[Benchmark]

25 Oct, 2018 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	66.48%	5.96%
CAGR﹪	16.49%	1.75%
Sharpe	-10.92	-6.79
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-10.33	-6.43
Sortino	-9.73	-6.86
Smart Sortino	-9.21	-6.49
Sortino/√2	-6.88	-4.85
Smart Sortino/√2	-6.51	-4.59
Omega	0.15	0.15
Max Drawdown	-16.22%	-52.0%
Longest DD Days	536	324
Volatility (ann.)	17.59%	29.76%
R^2	0.01	0.01
Information Ratio	0.02	0.02
Calmar	1.02	0.03
Skew	-0.17	-5.67
Kurtosis	12.9	135.49
Expected Daily	0.06%	0.01%
Expected Monthly	1.25%	0.14%
Expected Yearly	10.73%	1.16%
Kelly Criterion	-0.59%	-5.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.76%	-3.06%
Expected Shortfall (cVaR)	-1.76%	-3.06%
Max Consecutive Wins	9	11
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.2	0.06
Gain/Pain (1M)	1.61	0.3
Payoff Ratio	0.91	0.73
Profit Factor	1.2	1.06
Common Sense Ratio	1.48	1.0
CPC Index	0.57	0.43
Tail Ratio	1.23	0.95
Outlier Win Ratio	4.03	3.52
Outlier Loss Ratio	4.73	3.28
MTD	-8.9%	-30.02%
3M	-10.22%	-37.47%
6M	9.62%	-36.47%
YTD	-8.46%	-34.77%
1Y	14.82%	-27.03%
3Y (ann.)	19.02%	-0.31%
5Y (ann.)	16.49%	1.75%
10Y (ann.)	16.49%	1.75%
All-time (ann.)	16.49%	1.75%
Best Day	8.94%	20.04%
Worst Day	-7.39%	-33.28%
Best Month	8.54%	15.5%
Worst Month	-8.9%	-30.02%
Best Year	39.72%	28.55%
Worst Year	-8.46%	-34.77%
Avg. Drawdown	-2.59%	-3.6%
Avg. Drawdown Days	30	23
Recovery Factor	4.1	0.11
Ulcer Index	0.06	0.09
Serenity Index	-11.53	-8.76
Avg. Up Month	3.26%	3.67%
Avg. Down Month	-4.17%	-10.95%
Win Days	52.06%	55.65%
Win Month	70.73%	68.29%
Win Quarter	71.43%	71.43%
Win Year	60.0%	80.0%
Beta	0.06	-
Alpha	0.16	-
Correlation	10.45%	-
Treynor Ratio	-10257.7%	-