AMRE[Strategy] vs INav[Benchmark]

21 Apr, 2021 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	13.58%	13.32%
CAGR﹪	2.56%	2.52%
Sharpe	-0.01	-0.01
Prob. Sharpe Ratio	3.45%	3.42%
Smart Sharpe	-0.01	-0.01
Sortino	-0.01	-0.01
Smart Sortino	-0.01	-0.01
Sortino/√2	-0.01	-0.01
Smart Sortino/√2	-0.01	-0.01
Omega	1.0	1.0
Max Drawdown	-52.71%	-52.18%
Longest DD Days	1661	1652
Volatility (ann.)	26.91%	27.1%
R^2	0.86	0.86
Information Ratio	-0.0	-0.0
Calmar	0.05	0.05
Skew	-4.78	-4.58
Kurtosis	97.6	117.98
Expected Daily	0.01%	0.01%
Expected Monthly	0.22%	0.22%
Expected Yearly	2.14%	2.11%
Kelly Criterion	1.35%	-0.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.76%	-2.78%
Expected Shortfall (cVaR)	-2.76%	-2.78%
Max Consecutive Wins	10	9
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.05	0.06
Gain/Pain (1M)	0.25	0.26
Payoff Ratio	0.89	0.86
Profit Factor	1.05	1.06
Common Sense Ratio	1.02	1.0
CPC Index	0.5	0.49
Tail Ratio	0.96	0.95
Outlier Win Ratio	3.55	3.61
Outlier Loss Ratio	3.43	3.72
MTD	-3.29%	-3.68%
3M	-5.21%	-5.68%
6M	8.32%	7.47%
YTD	-2.05%	-2.24%
1Y	3.15%	2.33%
3Y (ann.)	9.29%	8.91%
5Y (ann.)	1.66%	1.61%
10Y (ann.)	2.56%	2.52%
All-time (ann.)	2.56%	2.52%
Best Day	15.24%	19.44%
Worst Day	-30.58%	-31.89%
Best Month	15.94%	16.32%
Worst Month	-29.54%	-27.51%
Best Year	48.13%	49.17%
Worst Year	-35.9%	-36.0%
Avg. Drawdown	-4.78%	-4.08%
Avg. Drawdown Days	111	94
Recovery Factor	0.26	0.26
Ulcer Index	0.23	0.23
Serenity Index	0.01	0.01
Avg. Up Month	4.66%	4.65%
Avg. Down Month	-5.52%	-5.47%
Win Days	53.65%	53.74%
Win Month	60.34%	56.9%
Win Quarter	61.9%	61.9%
Win Year	50.0%	50.0%
Beta	0.92	-
Alpha	0.01	-
Correlation	92.52%	-
Treynor Ratio	7.16%	-