FXRL RUB[Strategy] vs MCFTR RUB[Benchmark]

16 Mar, 2016 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	86.82%	88.35%
CAGR﹪	11.07%	11.23%
Sharpe	-10.04	-8.04
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-9.71	-7.77
Sortino	-8.98	-7.78
Smart Sortino	-8.67	-7.52
Sortino/√2	-6.35	-5.5
Smart Sortino/√2	-6.13	-5.31
Omega	0.15	0.15
Max Drawdown	-38.18%	-51.26%
Longest DD Days	370	309
Volatility (ann.)	19.55%	24.26%
R^2	0.52	0.52
Information Ratio	-0.01	-0.01
Calmar	0.29	0.22
Skew	-1.59	-5.99
Kurtosis	16.99	173.51
Expected Daily	0.04%	0.04%
Expected Monthly	0.87%	0.88%
Expected Yearly	9.34%	9.47%
Kelly Criterion	5.58%	4.44%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.98%	-2.46%
Expected Shortfall (cVaR)	-1.98%	-2.46%
Max Consecutive Wins	13	11
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.13	0.14
Gain/Pain (1M)	0.76	0.9
Payoff Ratio	0.95	0.91
Profit Factor	1.13	1.14
Common Sense Ratio	1.13	1.17
CPC Index	0.58	0.57
Tail Ratio	1.0	1.02
Outlier Win Ratio	3.53	3.5
Outlier Loss Ratio	4.26	4.34
MTD	-26.79%	-30.02%
3M	-32.68%	-36.5%
6M	-31.59%	-35.02%
YTD	-30.75%	-34.42%
1Y	-19.18%	-22.51%
3Y (ann.)	7.26%	6.53%
5Y (ann.)	10.48%	10.73%
10Y (ann.)	11.07%	11.23%
All-time (ann.)	11.07%	11.23%
Best Day	7.78%	20.04%
Worst Day	-13.29%	-33.28%
Best Month	14.67%	15.51%
Worst Month	-26.79%	-30.02%
Best Year	37.05%	38.45%
Worst Year	-30.75%	-34.42%
Avg. Drawdown	-2.63%	-2.91%
Avg. Drawdown Days	22	22
Recovery Factor	2.27	1.72
Ulcer Index	0.08	0.07
Serenity Index	-6.68	-8.75
Avg. Up Month	3.55%	3.62%
Avg. Down Month	-5.1%	-5.15%
Win Days	54.03%	54.47%
Win Month	69.44%	70.83%
Win Quarter	76.0%	72.0%
Win Year	71.43%	71.43%
Beta	0.58	-
Alpha	0.04	-
Correlation	72.23%	-
Treynor Ratio	-1053.32%	-