AMGB[Strategy] vs INav[Benchmark]

6 Jan, 2025 - 12 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	23.16%	23.85%
CAGR﹪	35.72%	36.83%
Sharpe	2.13	2.42
Prob. Sharpe Ratio	91.93%	96.65%
Smart Sharpe	2.1	2.38
Sortino	3.44	4.41
Smart Sortino	3.39	4.34
Sortino/√2	2.43	3.12
Smart Sortino/√2	2.4	3.07
Omega	1.45	1.45
Max Drawdown	-6.76%	-6.83%
Longest DD Days	75	75
Volatility (ann.)	11.21%	10.17%
R^2	0.67	0.67
Information Ratio	-0.01	-0.01
Calmar	5.29	5.4
Skew	0.58	1.45
Kurtosis	4.66	9.35
Expected Daily	0.12%	0.12%
Expected Monthly	2.34%	2.41%
Expected Yearly	23.16%	23.85%
Kelly Criterion	23.1%	21.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-0.93%
Expected Shortfall (cVaR)	-1.04%	-0.93%
Max Consecutive Wins	8	8
Max Consecutive Losses	4	7
Gain/Pain Ratio	0.61	0.75
Gain/Pain (1M)	7.72	7.32
Payoff Ratio	1.06	1.26
Profit Factor	1.61	1.75
Common Sense Ratio	1.67	2.49
CPC Index	1.04	1.24
Tail Ratio	1.04	1.42
Outlier Win Ratio	3.02	3.0
Outlier Loss Ratio	2.78	3.9
MTD	-0.24%	0.61%
3M	10.12%	10.53%
6M	14.89%	15.14%
YTD	23.16%	23.85%
1Y	23.16%	23.85%
3Y (ann.)	35.72%	36.83%
5Y (ann.)	35.72%	36.83%
10Y (ann.)	35.72%	36.83%
All-time (ann.)	35.72%	36.83%
Best Day	3.97%	4.25%
Worst Day	-1.9%	-1.75%
Best Month	6.2%	6.66%
Worst Month	-2.54%	-2.78%
Best Year	23.16%	23.85%
Worst Year	23.16%	23.85%
Avg. Drawdown	-1.27%	-1.35%
Avg. Drawdown Days	10	12
Recovery Factor	3.43	3.49
Ulcer Index	0.02	0.02
Serenity Index	1.11	1.11
Avg. Up Month	4.0%	4.07%
Avg. Down Month	-2.54%	-2.78%
Win Days	60.37%	56.32%
Win Month	77.78%	77.78%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.9	-
Alpha	0.02	-
Correlation	81.9%	-
Treynor Ratio	17.91%	-