FXTP USD[Strategy] vs [Benchmark] DE000SL0AZH6 USD

1 Jun, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	17.0%	100.0%
Cumulative Return	-0.53%	3.85%
CAGR﹪	-0.12%	0.87%
Sharpe	-3.1	-0.76
Prob. Sharpe Ratio	0.78%	2.25%
Smart Sharpe	-2.92	-0.72
Sortino	-3.9	-1.03
Smart Sortino	-3.67	-0.97
Sortino/√2	-2.76	-0.73
Smart Sortino/√2	-2.59	-0.69
Omega	0.43	0.43
Max Drawdown	-5.18%	-16.59%
Longest DD Days	1431	1318
Volatility (ann.)	2.21%	7.39%
R^2	0.04	0.04
Information Ratio	-0.01	-0.01
Calmar	-0.02	0.05
Skew	-0.61	0.0
Kurtosis	17.06	2.03
Expected Daily	-0.0%	0.0%
Expected Monthly	-0.01%	0.07%
Expected Yearly	-0.11%	0.76%
Kelly Criterion	-0.5%	-0.32%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.23%	-0.76%
Expected Shortfall (cVaR)	-0.23%	-0.76%
Max Consecutive Wins	6	8
Max Consecutive Losses	4	9
Gain/Pain Ratio	-0.02	0.03
Gain/Pain (1M)	-0.07	0.12
Payoff Ratio	1.0	0.98
Profit Factor	0.98	1.03
Common Sense Ratio	1.11	0.91
CPC Index	0.49	0.51
Tail Ratio	1.13	0.89
Outlier Win Ratio	36.39	2.57
Outlier Loss Ratio	3.3	2.54
MTD	0.0%	0.68%
3M	0.0%	3.62%
6M	0.0%	6.05%
YTD	0.0%	9.18%
1Y	0.0%	5.55%
3Y (ann.)	0.0%	4.6%
5Y (ann.)	-0.12%	0.87%
10Y (ann.)	-0.12%	0.87%
All-time (ann.)	-0.12%	0.87%
Best Day	1.08%	2.03%
Worst Day	-0.91%	-1.94%
Best Month	3.39%	5.36%
Worst Month	-2.41%	-8.23%
Best Year	4.25%	9.18%
Worst Year	-4.58%	-13.2%
Avg. Drawdown	-0.99%	-2.42%
Avg. Drawdown Days	130	142
Recovery Factor	-0.1	0.23
Ulcer Index	0.05	0.09
Serenity Index	-0.03	-0.01
Avg. Up Month	1.12%	1.18%
Avg. Down Month	-1.26%	-1.18%
Win Days	49.73%	50.27%
Win Month	55.56%	58.49%
Win Quarter	75.0%	63.16%
Win Year	50.0%	80.0%
Beta	0.06	-
Alpha	-0.0	-
Correlation	18.9%	-
Treynor Ratio	-133.15%	-