AMFL[Strategy] vs INav[Benchmark]

10 Jan, 2025 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	100.0%
Cumulative Return	16.34%	16.1%
CAGR﹪	29.0%	28.55%
Sharpe	5.71	8.8
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.89	5.99
Sortino	11.27	18.09
Smart Sortino	7.68	12.32
Sortino/√2	7.97	12.79
Smart Sortino/√2	5.43	8.71
Omega	2.69	2.69
Max Drawdown	-0.65%	-0.51%
Longest DD Days	9	9
Volatility (ann.)	3.19%	2.03%
R^2	0.2	0.2
Information Ratio	0.01	0.01
Calmar	44.44	56.23
Skew	0.31	-0.0
Kurtosis	2.75	3.74
Expected Daily	0.1%	0.1%
Expected Monthly	1.91%	1.88%
Expected Yearly	16.34%	16.1%
Kelly Criterion	53.48%	74.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.23%	-0.11%
Expected Shortfall (cVaR)	-0.23%	-0.11%
Max Consecutive Wins	9	15
Max Consecutive Losses	2	2
Gain/Pain Ratio	2.92	6.56
Gain/Pain (1M)	-	-
Payoff Ratio	1.14	1.46
Profit Factor	3.92	7.56
Common Sense Ratio	8.75	20.21
CPC Index	3.37	9.39
Tail Ratio	2.23	2.67
Outlier Win Ratio	3.06	3.98
Outlier Loss Ratio	1.95	2.92
MTD	1.47%	1.18%
3M	8.24%	7.94%
6M	14.65%	14.78%
YTD	16.34%	16.1%
1Y	16.34%	16.1%
3Y (ann.)	29.0%	28.55%
5Y (ann.)	29.0%	28.55%
10Y (ann.)	29.0%	28.55%
All-time (ann.)	29.0%	28.55%
Best Day	0.99%	0.59%
Worst Day	-0.65%	-0.41%
Best Month	2.91%	3.2%
Worst Month	0.87%	0.89%
Best Year	16.34%	16.1%
Worst Year	16.34%	16.1%
Avg. Drawdown	-0.16%	-0.13%
Avg. Drawdown Days	2	3
Recovery Factor	25.04	31.72
Ulcer Index	0.0	0.0
Serenity Index	81.6	130.46
Avg. Up Month	1.91%	1.89%
Avg. Down Month	-	-
Win Days	75.18%	84.87%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.7	-
Alpha	0.08	-
Correlation	44.67%	-
Treynor Ratio	13.31%	-