FXWO USD[Strategy] vs [Benchmark] DE000SLA9LA1 USD

28 Jan, 2020 - 10 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	35.0%	100.0%
Cumulative Return	3.81%	92.88%
CAGR﹪	0.64%	11.84%
Sharpe	-0.34	0.33
Prob. Sharpe Ratio	0.78%	19.08%
Smart Sharpe	-0.28	0.27
Sortino	-0.43	0.45
Smart Sortino	-0.36	0.37
Sortino/√2	-0.31	0.32
Smart Sortino/√2	-0.25	0.26
Omega	0.9	0.9
Max Drawdown	-31.09%	-30.96%
Longest DD Days	1493	796
Volatility (ann.)	14.7%	16.17%
R^2	0.18	0.18
Information Ratio	-0.04	-0.04
Calmar	0.02	0.38
Skew	-3.4	-0.77
Kurtosis	59.92	10.68
Expected Daily	0.0%	0.04%
Expected Monthly	0.05%	0.92%
Expected Yearly	0.63%	11.57%
Kelly Criterion	-2.52%	2.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.52%	-1.63%
Expected Shortfall (cVaR)	-1.52%	-1.63%
Max Consecutive Wins	6	12
Max Consecutive Losses	7	9
Gain/Pain Ratio	0.04	0.15
Gain/Pain (1M)	0.22	0.75
Payoff Ratio	0.79	0.87
Profit Factor	1.04	1.15
Common Sense Ratio	1.2	1.27
CPC Index	0.45	0.55
Tail Ratio	1.15	1.11
Outlier Win Ratio	11.6	3.67
Outlier Loss Ratio	2.63	4.19
MTD	0.0%	0.96%
3M	0.0%	4.1%
6M	0.0%	12.39%
YTD	0.0%	24.44%
1Y	0.0%	20.71%
3Y (ann.)	0.0%	22.43%
5Y (ann.)	-2.89%	10.18%
10Y (ann.)	0.64%	11.84%
All-time (ann.)	0.64%	11.84%
Best Day	7.62%	7.58%
Worst Day	-15.29%	-8.52%
Best Month	11.23%	11.45%
Worst Month	-15.75%	-10.81%
Best Year	16.54%	27.43%
Worst Year	-19.44%	-20.51%
Avg. Drawdown	-2.94%	-2.36%
Avg. Drawdown Days	57	24
Recovery Factor	0.12	3.0
Ulcer Index	0.17	0.1
Serenity Index	-0.01	0.43
Avg. Up Month	3.84%	4.04%
Avg. Down Month	-4.95%	-4.08%
Win Days	54.77%	54.39%
Win Month	57.69%	65.28%
Win Quarter	66.67%	66.67%
Win Year	66.67%	83.33%
Beta	0.39	-
Alpha	-0.03	-
Correlation	42.5%	-
Treynor Ratio	-8.25%	-