FXMM RUB[Strategy] vs MCFTR RUB[Benchmark]

23 Jun, 2014 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	96.0%	100.0%
Cumulative Return	63.48%	159.44%
CAGR﹪	6.61%	13.21%
Sharpe	-40.6	-8.07
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-26.03	-5.18
Sortino	-15.17	-7.83
Smart Sortino	-9.73	-5.02
Sortino/√2	-10.73	-5.54
Smart Sortino/√2	-6.88	-3.55
Omega	0.01	0.01
Max Drawdown	-8.35%	-51.26%
Longest DD Days	283	309
Volatility (ann.)	4.98%	23.9%
R^2	0.04	0.04
Information Ratio	-0.02	-0.02
Calmar	0.79	0.26
Skew	0.69	-4.94
Kurtosis	693.84	146.66
Expected Daily	0.03%	0.05%
Expected Monthly	0.53%	1.03%
Expected Yearly	5.61%	11.17%
Kelly Criterion	44.08%	-15.21%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.49%	-2.41%
Expected Shortfall (cVaR)	-0.49%	-2.41%
Max Consecutive Wins	76	11
Max Consecutive Losses	2	9
Gain/Pain Ratio	2.69	0.15
Gain/Pain (1M)	10.2	0.97
Payoff Ratio	0.2	0.67
Profit Factor	3.69	1.15
Common Sense Ratio	20.39	1.22
CPC Index	0.67	0.42
Tail Ratio	5.52	1.06
Outlier Win Ratio	40.26	1.84
Outlier Loss Ratio	15.8	1.99
MTD	-4.92%	-30.02%
3M	-3.79%	-36.5%
6M	-2.43%	-35.02%
YTD	-4.57%	-34.42%
1Y	-0.72%	-22.51%
3Y (ann.)	3.22%	6.53%
5Y (ann.)	4.55%	10.73%
10Y (ann.)	6.61%	13.21%
All-time (ann.)	6.61%	13.21%
Best Day	9.18%	20.04%
Worst Day	-8.35%	-33.28%
Best Month	1.64%	17.99%
Worst Month	-4.92%	-30.02%
Best Year	13.49%	38.45%
Worst Year	-4.57%	-34.42%
Avg. Drawdown	-0.12%	-3.12%
Avg. Drawdown Days	4	25
Recovery Factor	7.6	3.11
Ulcer Index	0.01	0.07
Serenity Index	-48.39	-8.03
Avg. Up Month	0.59%	3.59%
Avg. Down Month	-4.92%	-30.02%
Win Days	90.62%	53.69%
Win Month	98.92%	72.04%
Win Quarter	96.88%	75.0%
Win Year	88.89%	66.67%
Beta	0.04	-
Alpha	0.06	-
Correlation	20.16%	-
Treynor Ratio	-15161.21%	-