PRIE USD[Strategy] vs [Benchmark] RUEUESG USD

10 May, 2021 - 2 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	9.0%	97.0%
Cumulative Return	-5.1%	-58.98%
CAGR﹪	-1.33%	-20.43%
Sharpe	-4.18	-0.77
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-3.62	-0.66
Sortino	-4.46	-0.78
Smart Sortino	-3.86	-0.67
Sortino/√2	-3.15	-0.55
Smart Sortino/√2	-2.73	-0.47
Omega	0.21	0.21
Max Drawdown	-6.21%	-65.15%
Longest DD Days	1280	1293
Volatility (ann.)	2.14%	39.85%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	-0.21	-0.31
Skew	-5.78	-22.61
Kurtosis	75.23	539.7
Expected Daily	-0.01%	-0.15%
Expected Monthly	-0.16%	-2.75%
Expected Yearly	-1.04%	-16.32%
Kelly Criterion	-41.76%	-97.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.23%	-4.22%
Expected Shortfall (cVaR)	-0.23%	-4.22%
Max Consecutive Wins	2	8
Max Consecutive Losses	2	10
Gain/Pain Ratio	-0.44	-0.38
Gain/Pain (1M)	-0.81	-0.68
Payoff Ratio	0.54	0.33
Profit Factor	0.56	0.62
Common Sense Ratio	-	0.61
CPC Index	0.15	0.1
Tail Ratio	-	0.97
Outlier Win Ratio	108.26	4.2
Outlier Loss Ratio	2.72	2.19
MTD	0.0%	-1.33%
3M	0.0%	4.57%
6M	0.0%	11.15%
YTD	0.0%	4.57%
1Y	0.0%	5.93%
3Y (ann.)	0.0%	8.51%
5Y (ann.)	-1.33%	-20.43%
10Y (ann.)	-1.33%	-20.43%
All-time (ann.)	-1.33%	-20.43%
Best Day	0.7%	3.7%
Worst Day	-1.91%	-59.9%
Best Month	0.79%	7.37%
Worst Month	-3.41%	-59.81%
Best Year	0.0%	4.57%
Worst Year	-4.71%	-64.04%
Avg. Drawdown	-1.61%	-4.11%
Avg. Drawdown Days	274	84
Recovery Factor	-0.82	-0.91
Ulcer Index	0.05	0.51
Serenity Index	-0.04	-0.04
Avg. Up Month	0.39%	0.51%
Avg. Down Month	-1.04%	-1.99%
Win Days	50.0%	51.47%
Win Month	30.0%	53.12%
Win Quarter	25.0%	61.54%
Win Year	0.0%	80.0%
Beta	0.0	-
Alpha	-0.02	-
Correlation	1.65%	-
Treynor Ratio	-13673.06%	-