RQIE EUR[Strategy] vs [Benchmark] RQISETFE EUR

29 Oct, 2021 - 5 Jul, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	31.0%	98.0%
Cumulative Return	-12.76%	-7.39%
CAGR﹪	-4.96%	-2.82%
Sharpe	-0.89	-1.14
Prob. Sharpe Ratio	1.11%	1.14%
Smart Sharpe	-0.7	-0.9
Sortino	-1.3	-1.51
Smart Sortino	-1.02	-1.19
Sortino/√2	-0.92	-1.07
Smart Sortino/√2	-0.72	-0.84
Omega	0.76	0.76
Max Drawdown	-23.31%	-23.14%
Longest DD Days	941	968
Volatility (ann.)	12.88%	8.31%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	-0.21	-0.12
Skew	1.31	-0.17
Kurtosis	16.19	1.75
Expected Daily	-0.02%	-0.01%
Expected Monthly	-0.4%	-0.23%
Expected Yearly	-3.36%	-1.9%
Kelly Criterion	1.04%	0.91%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.35%	-0.87%
Expected Shortfall (cVaR)	-1.35%	-0.87%
Max Consecutive Wins	5	7
Max Consecutive Losses	4	8
Gain/Pain Ratio	-0.11	-0.06
Gain/Pain (1M)	-0.41	-0.16
Payoff Ratio	1.37	1.02
Profit Factor	0.89	0.94
Common Sense Ratio	0.65	0.82
CPC Index	0.52	0.48
Tail Ratio	0.73	0.86
Outlier Win Ratio	11.93	6.04
Outlier Loss Ratio	2.12	5.29
MTD	0.0%	1.08%
3M	0.0%	-1.1%
6M	0.0%	3.52%
YTD	0.0%	2.24%
1Y	0.0%	5.98%
3Y (ann.)	-4.96%	-2.82%
5Y (ann.)	-4.96%	-2.82%
10Y (ann.)	-4.96%	-2.82%
All-time (ann.)	-4.96%	-2.82%
Best Day	6.11%	1.77%
Worst Day	-3.64%	-2.11%
Best Month	7.81%	6.33%
Worst Month	-6.19%	-7.57%
Best Year	4.41%	8.82%
Worst Year	-15.73%	-15.0%
Avg. Drawdown	-6.36%	-23.14%
Avg. Drawdown Days	242	968
Recovery Factor	-0.55	-0.32
Ulcer Index	0.14	0.14
Serenity Index	-0.05	-0.03
Avg. Up Month	3.31%	3.49%
Avg. Down Month	-2.91%	-2.8%
Win Days	42.86%	49.92%
Win Month	33.33%	48.48%
Win Quarter	33.33%	50.0%
Win Year	33.33%	50.0%
Beta	0.18	-
Alpha	-0.04	-
Correlation	11.74%	-
Treynor Ratio	-108.62%	-