FXUS RUB[Strategy] vs FXEM RUB[Benchmark]

17 Dec, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	-4.54%	10.62%
CAGR﹪	-21.52%	69.28%
Sharpe	-1.67	2.18
Prob. Sharpe Ratio	13.9%	71.55%
Smart Sharpe	-1.61	2.1
Sortino	-1.98	3.35
Smart Sortino	-1.91	3.24
Sortino/√2	-1.4	2.37
Smart Sortino/√2	-1.35	2.29
Omega	0.76	0.76
Max Drawdown	-10.6%	-4.8%
Longest DD Days	51	20
Volatility (ann.)	17.76%	22.35%
R^2	0.11	0.11
Information Ratio	-0.21	-0.21
Calmar	-2.03	14.42
Skew	-1.13	-0.46
Kurtosis	1.97	2.7
Expected Daily	-0.1%	0.21%
Expected Monthly	-1.54%	3.42%
Expected Yearly	-2.3%	5.18%
Kelly Criterion	0.59%	12.45%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.93%	-2.1%
Expected Shortfall (cVaR)	-1.93%	-2.1%
Max Consecutive Wins	10	5
Max Consecutive Losses	4	6
Gain/Pain Ratio	-0.19	0.54
Gain/Pain (1M)	-0.52	-
Payoff Ratio	0.75	1.15
Profit Factor	0.81	1.54
Common Sense Ratio	0.59	2.92
CPC Index	0.35	0.94
Tail Ratio	0.72	1.9
Outlier Win Ratio	3.53	1.99
Outlier Loss Ratio	2.94	3.75
MTD	-5.39%	2.46%
3M	-4.54%	10.62%
6M	-4.54%	10.62%
YTD	-8.28%	7.21%
1Y	-4.54%	10.62%
3Y (ann.)	-21.52%	69.28%
5Y (ann.)	-21.52%	69.28%
10Y (ann.)	-21.52%	69.28%
All-time (ann.)	-21.52%	69.28%
Best Day	1.53%	3.18%
Worst Day	-4.02%	-4.8%
Best Month	4.08%	4.64%
Worst Month	-5.39%	2.46%
Best Year	4.08%	7.21%
Worst Year	-8.28%	3.19%
Avg. Drawdown	-5.97%	-1.58%
Avg. Drawdown Days	26	5
Recovery Factor	-0.43	2.21
Ulcer Index	0.05	0.02
Serenity Index	-0.28	0.96
Avg. Up Month	4.08%	3.19%
Avg. Down Month	-	-
Win Days	57.45%	53.19%
Win Month	33.33%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	0.27	-
Alpha	-0.38	-
Correlation	33.89%	-
Treynor Ratio	-42.86%	-