FXUS RUB[Strategy] vs BCSB RUB[Benchmark]

22 Mar, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	87.0%
Cumulative Return	10.25%	-9.14%
CAGR﹪	11.04%	-9.78%
Sharpe	0.33	-0.27
Prob. Sharpe Ratio	39.17%	12.29%
Smart Sharpe	0.32	-0.27
Sortino	0.45	-0.4
Smart Sortino	0.44	-0.39
Sortino/√2	0.32	-0.28
Smart Sortino/√2	0.31	-0.27
Omega	1.06	1.06
Max Drawdown	-10.6%	-29.99%
Longest DD Days	83	74
Volatility (ann.)	13.68%	36.83%
R^2	0.08	0.08
Information Ratio	0.03	0.03
Calmar	1.04	-0.33
Skew	-0.56	0.95
Kurtosis	2.1	110.86
Expected Daily	0.04%	-0.04%
Expected Monthly	0.82%	-0.8%
Expected Yearly	5.0%	-4.68%
Kelly Criterion	-4.88%	-10.99%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.37%	-3.83%
Expected Shortfall (cVaR)	-1.37%	-3.83%
Max Consecutive Wins	10	7
Max Consecutive Losses	7	5
Gain/Pain Ratio	0.15	-0.05
Gain/Pain (1M)	0.62	-0.38
Payoff Ratio	0.82	0.74
Profit Factor	1.15	0.95
Common Sense Ratio	0.99	0.85
CPC Index	0.5	0.37
Tail Ratio	0.86	0.9
Outlier Win Ratio	2.51	4.23
Outlier Loss Ratio	3.26	3.56
MTD	-5.39%	-9.42%
3M	-7.24%	-10.37%
6M	-2.07%	-11.52%
YTD	-8.28%	-11.5%
1Y	10.25%	-9.14%
3Y (ann.)	11.04%	-9.78%
5Y (ann.)	11.04%	-9.78%
10Y (ann.)	11.04%	-9.78%
All-time (ann.)	11.04%	-9.78%
Best Day	2.42%	25.56%
Worst Day	-4.02%	-24.07%
Best Month	4.94%	1.49%
Worst Month	-5.82%	-9.42%
Best Year	20.2%	2.67%
Worst Year	-8.28%	-11.5%
Avg. Drawdown	-2.33%	-1.42%
Avg. Drawdown Days	18	8
Recovery Factor	0.97	-0.3
Ulcer Index	0.03	0.03
Serenity Index	0.13	-2.88
Avg. Up Month	3.45%	0.65%
Avg. Down Month	-4.76%	-4.33%
Win Days	52.74%	52.66%
Win Month	66.67%	66.67%
Win Quarter	60.0%	60.0%
Win Year	50.0%	50.0%
Beta	0.1	-
Alpha	0.12	-
Correlation	27.88%	-
Treynor Ratio	31.37%	-