Performance summary
metric	strategy	benchmark
Cumulative return	−6.64%	21.19%
Annualized return	−2.26%	6.62%
Annualized volatility	19.82%	16.68%
Sharpe ratio	−0.02	0.47
Sortino ratio	−0.02	0.68
Max drawdown	−36.56%	−22.92%
Calmar ratio	−0.06	0.29