FXUS RUB[Strategy] vs IMOEX RUB[Benchmark]

16 Jun, 2014 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	405.93%	65.37%
CAGR﹪	23.43%	6.75%
Sharpe	-9.39	-8.44
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-9.36	-8.41
Sortino	-9.03	-8.06
Smart Sortino	-9.0	-8.03
Sortino/√2	-6.39	-5.7
Smart Sortino/√2	-6.36	-5.68
Omega	0.18	0.18
Max Drawdown	-27.3%	-52.0%
Longest DD Days	679	379
Volatility (ann.)	19.77%	23.61%
R^2	0.03	0.03
Information Ratio	0.03	0.03
Calmar	0.86	0.13
Skew	0.9	-5.04
Kurtosis	22.12	150.14
Expected Daily	0.08%	0.03%
Expected Monthly	1.76%	0.54%
Expected Yearly	19.74%	5.75%
Kelly Criterion	8.74%	1.56%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.96%	-2.41%
Expected Shortfall (cVaR)	-1.96%	-2.41%
Max Consecutive Wins	10	11
Max Consecutive Losses	7	9
Gain/Pain Ratio	0.25	0.09
Gain/Pain (1M)	1.53	0.54
Payoff Ratio	0.97	0.92
Profit Factor	1.25	1.09
Common Sense Ratio	1.37	1.13
CPC Index	0.67	0.53
Tail Ratio	1.09	1.03
Outlier Win Ratio	3.93	3.78
Outlier Loss Ratio	3.91	3.7
MTD	-5.39%	-30.02%
3M	-7.24%	-37.47%
6M	-2.07%	-36.47%
YTD	-8.28%	-34.77%
1Y	12.49%	-27.03%
3Y (ann.)	23.2%	-0.31%
5Y (ann.)	20.78%	3.97%
10Y (ann.)	23.43%	6.75%
All-time (ann.)	23.43%	6.75%
Best Day	16.81%	20.04%
Worst Day	-8.87%	-33.28%
Best Month	22.85%	17.98%
Worst Month	-8.88%	-30.02%
Best Year	70.59%	28.55%
Worst Year	-9.36%	-34.77%
Avg. Drawdown	-2.92%	-3.98%
Avg. Drawdown Days	31	34
Recovery Factor	14.87	1.26
Ulcer Index	0.08	0.08
Serenity Index	-2.84	-7.59
Avg. Up Month	5.18%	3.5%
Avg. Down Month	-3.91%	-5.98%
Win Days	55.04%	52.88%
Win Month	66.67%	65.59%
Win Quarter	68.75%	65.62%
Win Year	77.78%	66.67%
Beta	0.15	-
Alpha	0.22	-
Correlation	17.66%	-
Treynor Ratio	-1988.27%	-