FXUS RUB[Strategy] vs GPBM RUB[Benchmark]

1 Aug, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	77.0%
Cumulative Return	74.77%	3.17%
CAGR﹪	24.24%	1.22%
Sharpe	1.39	-0.33
Prob. Sharpe Ratio	79.42%	12.34%
Smart Sharpe	1.39	-0.33
Sortino	2.08	-0.41
Smart Sortino	2.08	-0.41
Sortino/√2	1.47	-0.29
Smart Sortino/√2	1.47	-0.29
Omega	1.28	1.28
Max Drawdown	-14.46%	-12.16%
Longest DD Days	104	407
Volatility (ann.)	19.54%	12.71%
R^2	0.0	0.0
Information Ratio	0.08	0.08
Calmar	1.68	0.1
Skew	-0.01	-4.43
Kurtosis	5.36	79.46
Expected Daily	0.13%	0.01%
Expected Monthly	1.82%	0.1%
Expected Yearly	14.98%	0.78%
Kelly Criterion	16.09%	14.82%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.89%	-1.31%
Expected Shortfall (cVaR)	-1.89%	-1.31%
Max Consecutive Wins	8	7
Max Consecutive Losses	8	6
Gain/Pain Ratio	0.37	0.07
Gain/Pain (1M)	2.36	0.23
Payoff Ratio	1.21	1.13
Profit Factor	1.37	1.07
Common Sense Ratio	1.66	1.23
CPC Index	0.89	0.66
Tail Ratio	1.21	1.15
Outlier Win Ratio	2.78	9.85
Outlier Loss Ratio	3.58	6.31
MTD	-5.39%	-7.06%
3M	-7.24%	-7.56%
6M	-2.07%	-10.96%
YTD	-8.28%	-9.8%
1Y	11.78%	-11.04%
3Y (ann.)	24.24%	1.22%
5Y (ann.)	24.24%	1.22%
10Y (ann.)	24.24%	1.22%
All-time (ann.)	24.24%	1.22%
Best Day	7.71%	5.82%
Worst Day	-5.9%	-10.58%
Best Month	9.89%	5.59%
Worst Month	-6.23%	-7.06%
Best Year	44.05%	9.58%
Worst Year	-8.28%	-9.8%
Avg. Drawdown	-2.39%	-1.3%
Avg. Drawdown Days	19	28
Recovery Factor	5.17	0.26
Ulcer Index	0.03	0.02
Serenity Index	4.36	-0.29
Avg. Up Month	4.05%	1.29%
Avg. Down Month	-4.25%	-3.45%
Win Days	54.13%	54.73%
Win Month	70.0%	63.33%
Win Quarter	81.82%	63.64%
Win Year	75.0%	50.0%
Beta	-0.05	-
Alpha	0.34	-
Correlation	-3.31%	-
Treynor Ratio	-1330.11%	-