FXUS RUB[Strategy] vs DIVD RUB[Benchmark]

21 Jan, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	13.61%	-16.93%
CAGR﹪	12.35%	-15.57%
Sharpe	0.42	-0.88
Prob. Sharpe Ratio	41.73%	2.97%
Smart Sharpe	0.4	-0.84
Sortino	0.58	-1.02
Smart Sortino	0.56	-0.98
Sortino/√2	0.41	-0.72
Smart Sortino/√2	0.4	-0.69
Omega	1.07	1.07
Max Drawdown	-10.6%	-32.78%
Longest DD Days	83	128
Volatility (ann.)	13.7%	23.58%
R^2	0.01	0.01
Information Ratio	0.06	0.06
Calmar	1.16	-0.47
Skew	-0.43	-2.94
Kurtosis	1.81	18.06
Expected Daily	0.05%	-0.07%
Expected Monthly	0.92%	-1.32%
Expected Yearly	6.59%	-8.86%
Kelly Criterion	-2.08%	-5.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.37%	-2.5%
Expected Shortfall (cVaR)	-1.37%	-2.5%
Max Consecutive Wins	10	7
Max Consecutive Losses	7	4
Gain/Pain Ratio	0.17	-0.11
Gain/Pain (1M)	0.77	-0.38
Payoff Ratio	0.88	0.74
Profit Factor	1.17	0.89
Common Sense Ratio	1.04	0.7
CPC Index	0.54	0.36
Tail Ratio	0.89	0.79
Outlier Win Ratio	3.53	3.07
Outlier Loss Ratio	5.86	3.4
MTD	-5.39%	-24.16%
3M	-7.24%	-27.58%
6M	-2.07%	-28.65%
YTD	-8.28%	-27.58%
1Y	12.49%	-15.57%
3Y (ann.)	12.35%	-15.57%
5Y (ann.)	12.35%	-15.57%
10Y (ann.)	12.35%	-15.57%
All-time (ann.)	12.35%	-15.57%
Best Day	2.42%	4.48%
Worst Day	-4.02%	-10.29%
Best Month	4.94%	7.2%
Worst Month	-5.82%	-24.16%
Best Year	23.86%	14.71%
Worst Year	-8.28%	-27.58%
Avg. Drawdown	-2.45%	-2.59%
Avg. Drawdown Days	19	13
Recovery Factor	1.28	-0.52
Ulcer Index	0.03	0.06
Serenity Index	0.3	-0.52
Avg. Up Month	3.53%	2.42%
Avg. Down Month	-3.82%	-8.23%
Win Days	52.16%	55.23%
Win Month	64.29%	64.29%
Win Quarter	60.0%	60.0%
Win Year	50.0%	50.0%
Beta	0.06	-
Alpha	0.13	-
Correlation	9.7%	-
Treynor Ratio	117.19%	-