2015 China Devaluation Selloff | Strategy: -1.1% vs SPY: -8.5% | Alpha: 7.4%

3 Aug, 2015 - 30 Sep, 2015

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-8.49%	-1.1%
CAGR﹪	-41.28%	-6.41%
Sharpe	-2.05	-1.7
Prob. Sharpe Ratio	20.32%	24.69%
Smart Sharpe	-1.49	-1.23
Sortino	-2.66	-2.21
Smart Sortino	-1.93	-1.6
Sortino/√2	-1.88	-1.56
Smart Sortino/√2	-1.36	-1.13
Omega	0.75	0.75
Max Drawdown	-11.07%	-1.93%
Max DD Date	2015-08-25	2015-09-25
Max DD Period Start	2015-08-18	2015-08-11
Max DD Period End	2015-09-30	2015-09-30
Longest DD Days	44	51
Volatility (ann.)	24.47%	3.86%
R^2	0.01	0.01
Information Ratio	0.11	0.11
Calmar	-3.73	-3.32
Skew	-0.04	-0.0
Kurtosis	1.04	0.78
Expected Daily	-0.21%	-0.03%
Expected Monthly	-4.34%	-0.55%
Expected Yearly	-8.49%	-1.1%
Kelly Criterion	-38.51%	-14.7%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.73%	-0.43%
Expected Shortfall (cVaR)	-2.73%	-0.43%
Max Consecutive Wins	3	3
Max Consecutive Losses	6	4
Gain/Pain Ratio	-0.31	-0.25
Gain/Pain (1M)	-1.0	-1.0
Payoff Ratio	0.7	0.77
Profit Factor	0.69	0.75
Common Sense Ratio	0.57	0.69
CPC Index	0.21	0.29
Tail Ratio	0.83	0.93
Outlier Win Ratio	1.81	12.27
Outlier Loss Ratio	1.88	10.35
MTD	-2.55%	-0.38%
3M	-8.49%	-1.1%
6M	-8.49%	-1.1%
YTD	-8.49%	-1.1%
1Y	-8.49%	-1.1%
3Y (ann.)	-41.28%	-6.41%
5Y (ann.)	-41.28%	-6.41%
10Y (ann.)	-41.28%	-6.41%
All-time (ann.)	-41.28%	-6.41%
Best Day	3.84%	0.64%
Worst Day	-4.21%	-0.62%
Best Month	-2.55%	-0.38%
Worst Month	-6.09%	-0.72%
Best Year	-8.49%	-1.1%
Worst Year	-8.49%	-1.1%
Avg. Drawdown	-4.4%	-0.9%
Avg. Drawdown Days	18	18
Recovery Factor	0.76	0.56
Ulcer Index	0.06	0.01
Serenity Index	-0.19	-0.14
Avg. Up Month	-	-
Avg. Down Month	-4.32%	-0.55%
Win Days	42.86%	50.0%
Win Month	0.0%	0.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	-	0.02
Alpha	-	-0.06
Correlation	-	11.68%
Treynor Ratio	-	-59.56%