Global Momentum Balanced

2 Jan, 1998 - 3 Oct, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	2,299.20%	484.41%
CAGR﹪	13.69%	7.39%
Sharpe	1.15	0.47
Smart Sharpe	1.11	0.45
Sortino	1.63	0.67
Smart Sortino	1.57	0.64
Sortino/√2	1.15	0.47
Smart Sortino/√2	1.11	0.45
Omega	1.24	1.24
Max Drawdown	-19.76%	-55.19%
Longest DD Days	799	2404
Volatility (ann.)	12.2%	19.95%
R^2	0.18	0.18
Calmar	0.69	0.13
Skew	-0.46	0.07
Kurtosis	5.91	10.67
Expected Daily %	0.05%	0.03%
Expected Monthly %	1.07%	0.59%
Expected Yearly %	13.55%	7.32%
Kelly Criterion	8.65%	0.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.21%	-2.03%
Expected Shortfall (cVaR)	-1.21%	-2.03%
Gain/Pain Ratio	0.24	0.09
Gain/Pain (1M)	1.5	0.54
Payoff Ratio	0.91	0.85
Profit Factor	1.24	1.09
Common Sense Ratio	1.27	0.99
CPC Index	0.63	0.5
Tail Ratio	1.03	0.9
Outlier Win Ratio	5.32	3.42
Outlier Loss Ratio	5.41	3.33
MTD	-0.1%	-7.14%
3M	-0.49%	-3.44%
6M	-3.65%	-18.37%
YTD	-6.46%	-21.92%
1Y	-8.04%	-14.3%
3Y (ann.)	13.8%	9.82%
5Y (ann.)	9.43%	9.58%
10Y (ann.)	9.14%	11.72%
All-time (ann.)	13.69%	7.39%
Best Day	5.71%	14.52%
Worst Day	-6.68%	-10.94%
Best Month	15.21%	12.7%
Worst Month	-7.91%	-16.52%
Best Year	57.48%	32.31%
Worst Year	-6.46%	-36.79%
Avg. Drawdown	-2.12%	-2.05%
Avg. Drawdown Days	29	30
Recovery Factor	116.36	8.78
Ulcer Index	0.07	0.17
Serenity Index	19.23	1.17
Avg. Up Month	3.29%	3.41%
Avg. Down Month	-2.71%	-4.38%
Win Days %	56.58%	54.42%
Win Month %	64.43%	62.75%
Win Quarter %	59.0%	70.0%
Win Year %	92.0%	76.0%
Beta	0.26	-
Alpha	0.12	-