FXUS[Strategy] vs INav[Benchmark]

22 May, 2019 - 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	33.81%	56.42%
CAGR﹪	11.1%	17.55%
Sharpe	0.3	0.54
Prob. Sharpe Ratio	20.87%	32.77%
Smart Sharpe	0.29	0.54
Sortino	0.39	0.75
Smart Sortino	0.38	0.74
Sortino/√2	0.27	0.53
Smart Sortino/√2	0.27	0.52
Omega	1.06	1.06
Max Drawdown	-32.48%	-33.94%
Longest DD Days	168	168
Volatility (ann.)	22.45%	23.5%
R^2	0.31	0.31
Information Ratio	-0.02	-0.02
Calmar	0.34	0.52
Skew	-1.44	-0.57
Kurtosis	10.44	15.66
Expected Daily	0.04%	0.07%
Expected Monthly	0.86%	1.32%
Expected Yearly	7.55%	11.83%
Kelly Criterion	5.72%	6.18%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.27%	-2.36%
Expected Shortfall (cVaR)	-2.27%	-2.36%
Max Consecutive Wins	11	7
Max Consecutive Losses	7	9
Gain/Pain Ratio	0.13	0.19
Gain/Pain (1M)	0.58	1.15
Payoff Ratio	0.8	0.89
Profit Factor	1.13	1.19
Common Sense Ratio	1.07	1.02
CPC Index	0.52	0.59
Tail Ratio	0.95	0.86
Outlier Win Ratio	4.96	4.66
Outlier Loss Ratio	4.54	4.94
MTD	-16.68%	-3.0%
3M	-21.25%	-7.71%
6M	-17.82%	-3.71%
YTD	-22.25%	-8.82%
1Y	-6.13%	10.16%
3Y (ann.)	11.1%	17.55%
5Y (ann.)	11.1%	17.55%
10Y (ann.)	11.1%	17.55%
All-time (ann.)	11.1%	17.55%
Best Day	6.49%	9.34%
Worst Day	-10.18%	-12.03%
Best Month	11.85%	12.91%
Worst Month	-16.68%	-12.55%
Best Year	27.39%	26.87%
Worst Year	-22.25%	-8.82%
Avg. Drawdown	-2.09%	-1.9%
Avg. Drawdown Days	12	12
Recovery Factor	1.04	1.66
Ulcer Index	0.07	0.07
Serenity Index	0.45	0.88
Avg. Up Month	4.25%	4.26%
Avg. Down Month	-6.27%	-4.79%
Win Days	58.02%	55.77%
Win Month	70.59%	67.65%
Win Quarter	75.0%	83.33%
Win Year	75.0%	75.0%
Beta	0.53	-
Alpha	0.03	-
Correlation	55.25%	-
Treynor Ratio	50.79%	-