FXMM[Strategy] vs INav[Benchmark]

26 Jun, 2014 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	96.0%
Cumulative Return	63.33%	71.75%
CAGR﹪	6.6%	7.3%
Sharpe	0.02	1.27
Prob. Sharpe Ratio	67.52%	100.0%
Smart Sharpe	0.01	0.81
Sortino	0.03	3.0
Smart Sortino	0.02	1.92
Sortino/√2	0.02	2.12
Smart Sortino/√2	0.01	1.35
Omega	1.02	1.02
Max Drawdown	-8.35%	-0.3%
Longest DD Days	283	4
Volatility (ann.)	5.05%	0.52%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.79	24.31
Skew	0.68	3.46
Kurtosis	674.8	41.38
Expected Daily	0.03%	0.03%
Expected Monthly	0.53%	0.58%
Expected Yearly	5.6%	6.19%
Kelly Criterion	-606.24%	96.93%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.5%	-0.02%
Expected Shortfall (cVaR)	-0.5%	-0.02%
Max Consecutive Wins	76	108
Max Consecutive Losses	2	2
Gain/Pain Ratio	2.7	130.77
Gain/Pain (1M)	10.18	-
Payoff Ratio	0.01	0.51
Profit Factor	3.7	131.77
Common Sense Ratio	19.96	-
CPC Index	0.04	65.86
Tail Ratio	5.39	-
Outlier Win Ratio	3.9	5.33
Outlier Loss Ratio	0.2	1.02
MTD	-4.92%	0.03%
3M	-3.79%	1.21%
6M	-2.43%	2.66%
YTD	-4.57%	0.52%
1Y	-0.72%	4.76%
3Y (ann.)	3.22%	4.99%
5Y (ann.)	4.55%	5.62%
10Y (ann.)	6.6%	7.3%
All-time (ann.)	6.6%	7.3%
Best Day	9.18%	0.52%
Worst Day	-8.35%	-0.29%
Best Month	1.64%	1.42%
Worst Month	-4.92%	0.03%
Best Year	13.49%	12.8%
Worst Year	-4.57%	0.52%
Avg. Drawdown	-0.12%	-0.03%
Avg. Drawdown Days	4	2
Recovery Factor	7.58	238.88
Ulcer Index	0.02	0.0
Serenity Index	4.22	24981.71
Avg. Up Month	0.59%	0.59%
Avg. Down Month	-	-
Win Days	90.71%	98.97%
Win Month	98.92%	100.0%
Win Quarter	96.88%	100.0%
Win Year	88.89%	100.0%
Beta	0.56	-
Alpha	0.03	-
Correlation	5.73%	-
Treynor Ratio	101.18%	-