Target Volatility

2 Jan, 2003 - 5 Aug, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	173.01%	560.61%
CAGR﹪	5.26%	10.11%
Sharpe	1.33	0.6
Smart Sharpe	1.32	0.6
Sortino	1.92	0.85
Smart Sortino	1.91	0.85
Sortino/√2	1.36	0.6
Smart Sortino/√2	1.35	0.6
Omega	1.26	1.26
Max Drawdown	-11.71%	-55.19%
Longest DD Days	408	1772
Volatility (ann.)	3.94%	19.03%
R^2	0.16	0.16
Calmar	0.45	0.18
Skew	-0.35	-0.07
Kurtosis	2.52	15.29
Expected Daily %	0.02%	0.04%
Expected Monthly %	0.43%	0.8%
Expected Yearly %	5.15%	9.9%
Kelly Criterion	9.79%	4.47%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.39%	-1.93%
Expected Shortfall (cVaR)	-0.39%	-1.93%
Gain/Pain Ratio	0.26	0.13
Gain/Pain (1M)	1.79	0.83
Payoff Ratio	0.95	0.87
Profit Factor	1.26	1.13
Common Sense Ratio	1.33	1.04
CPC Index	0.67	0.55
Tail Ratio	1.06	0.92
Outlier Win Ratio	10.78	2.67
Outlier Loss Ratio	11.38	2.58
MTD	-0.01%	5.4%
3M	-2.62%	-3.22%
6M	-7.97%	-8.92%
YTD	-9.69%	-12.3%
1Y	-8.46%	-4.47%
3Y (ann.)	1.88%	15.22%
5Y (ann.)	4.16%	12.76%
10Y (ann.)	4.61%	13.6%
All-time (ann.)	5.26%	10.11%
Best Day	1.15%	14.52%
Worst Day	-1.47%	-10.94%
Best Month	3.58%	12.7%
Worst Month	-3.61%	-16.52%
Best Year	13.89%	32.31%
Worst Year	-9.69%	-36.79%
Avg. Drawdown	-0.59%	-1.75%
Avg. Drawdown Days	22	21
Recovery Factor	14.77	10.16
Ulcer Index	0.02	0.12
Serenity Index	7.52	2.24
Avg. Up Month	1.04%	3.35%
Avg. Down Month	-0.88%	-3.79%
Win Days %	56.13%	55.45%
Win Month %	66.1%	67.37%
Win Quarter %	79.75%	74.68%
Win Year %	90.0%	85.0%
Beta	0.08	-
Alpha	0.04	-