GQGD USD[Strategy] vs [Benchmark] IRGQG USD

22 Dec, 2021 - 1 Apr, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	88.0%	94.0%
Cumulative Return	-13.56%	-12.24%
CAGR﹪	-41.25%	-37.91%
Sharpe	-2.64	-2.01
Prob. Sharpe Ratio	5.15%	10.09%
Smart Sharpe	-2.42	-1.84
Sortino	-3.15	-2.65
Smart Sortino	-2.88	-2.42
Sortino/√2	-2.22	-1.87
Smart Sortino/√2	-2.04	-1.71
Omega	0.63	0.63
Max Drawdown	-18.16%	-19.61%
Longest DD Days	87	88
Volatility (ann.)	28.8%	33.32%
R^2	0.33	0.33
Information Ratio	-0.02	-0.02
Calmar	-2.27	-1.93
Skew	-0.64	0.17
Kurtosis	1.07	0.73
Expected Daily	-0.29%	-0.26%
Expected Monthly	-2.87%	-2.58%
Expected Yearly	-7.03%	-6.32%
Kelly Criterion	-20.27%	-9.51%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.26%	-3.69%
Expected Shortfall (cVaR)	-3.26%	-3.69%
Max Consecutive Wins	3	3
Max Consecutive Losses	6	5
Gain/Pain Ratio	-0.34	-0.26
Gain/Pain (1M)	-0.91	-0.69
Payoff Ratio	0.97	1.1
Profit Factor	0.66	0.74
Common Sense Ratio	0.51	0.6
CPC Index	0.26	0.35
Tail Ratio	0.78	0.81
Outlier Win Ratio	3.69	2.7
Outlier Loss Ratio	3.2	2.87
MTD	0.0%	-0.63%
3M	-14.77%	-14.27%
6M	-13.56%	-12.24%
YTD	-14.77%	-14.27%
1Y	-13.56%	-12.24%
3Y (ann.)	-41.25%	-37.91%
5Y (ann.)	-41.25%	-37.91%
10Y (ann.)	-41.25%	-37.91%
All-time (ann.)	-41.25%	-37.91%
Best Day	3.19%	5.61%
Worst Day	-5.87%	-5.22%
Best Month	1.41%	2.93%
Worst Month	-11.88%	-11.33%
Best Year	1.41%	2.36%
Worst Year	-14.77%	-14.27%
Avg. Drawdown	-6.33%	-10.21%
Avg. Drawdown Days	32	45
Recovery Factor	-0.75	-0.62
Ulcer Index	0.11	0.11
Serenity Index	-0.17	-0.21
Avg. Up Month	1.41%	2.36%
Avg. Down Month	-7.58%	-8.4%
Win Days	40.91%	42.55%
Win Month	33.33%	40.0%
Win Quarter	50.0%	33.33%
Win Year	50.0%	50.0%
Beta	0.5	-
Alpha	-0.39	-
Correlation	57.57%	-
Treynor Ratio	-41.33%	-