real-1-ROE증가율-2022-10-24 23-23-58

real-1-ROE증가율

4 Oct, 2022 - 24 Oct, 2022

Benchmark is KQ11 | Generated by QuantStats (v. 0.0.59)

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Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	93.0%
Cumulative Return	4.29%	-1.19%
CAGR﹪	115.35%	-19.62%
Sharpe	1.9	-0.42
Prob. Sharpe Ratio	66.36%	46.22%
Smart Sharpe	1.75	-0.38
Sortino	2.88	-0.62
Smart Sortino	2.65	-0.57
Sortino/√2	2.03	-0.44
Smart Sortino/√2	1.87	-0.4
Omega	1.33	1.33
Max Drawdown	-7.49%	-7.71%
Longest DD Days	11	17
Volatility (ann.)	44.67%	36.62%
R^2	0.65	0.65
Information Ratio	0.24	0.24
Calmar	15.4	-2.55
Skew	-0.48	0.15
Kurtosis	-1.04	-0.39
Expected Daily	0.3%	-0.09%
Expected Monthly	4.29%	-1.19%
Expected Yearly	4.29%	-1.19%
Kelly Criterion	13.72%	-4.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.29%	-3.86%
Expected Shortfall (cVaR)	-4.29%	-3.86%
Max Consecutive Wins	3	3
Max Consecutive Losses	3	3
Gain/Pain Ratio	0.33	-0.06
Gain/Pain (1M)	-	-1.0
Payoff Ratio	1.15	1.07
Profit Factor	1.33	0.94
Common Sense Ratio	1.14	0.93
CPC Index	0.82	0.46
Tail Ratio	0.86	1.0
Outlier Win Ratio	1.62	2.19
Outlier Loss Ratio	1.81	2.3
MTD	4.29%	-1.19%
3M	4.29%	-1.19%
6M	4.29%	-1.19%
YTD	4.29%	-1.19%
1Y	4.29%	-1.19%
3Y (ann.)	115.35%	-19.62%
5Y (ann.)	115.35%	-19.62%
10Y (ann.)	115.35%	-19.62%
All-time (ann.)	115.35%	-19.62%
Best Day	3.78%	4.09%
Worst Day	-4.73%	-4.15%
Best Month	4.29%	-1.19%
Worst Month	4.29%	-1.19%
Best Year	4.29%	-1.19%
Worst Year	4.29%	-1.19%
Avg. Drawdown	-5.65%	-4.68%
Avg. Drawdown Days	8	9
Recovery Factor	0.57	-0.15
Ulcer Index	0.04	0.04
Serenity Index	0.5	-0.11
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	53.85%	46.15%
Win Month	100.0%	0.0%
Win Quarter	100.0%	0.0%
Win Year	100.0%	0.0%
Beta	0.98	-
Alpha	1.0	-
Correlation	80.41%	-
Treynor Ratio	4.38%	-

EOY Returns vs Benchmark

Year	Benchmark	Strategy	Multiplier	Won
2022	-1.19	4.29	-3.61	+

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2022-10-07	2022-10-18	-7.49	11
2022-10-19	2022-10-24	-3.82	5