AMRH[Strategy] vs INav[Benchmark]

23 Aug, 2021 - 11 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	88.0%	98.0%
Cumulative Return	59.68%	59.45%
CAGR﹪	10.43%	10.4%
Sharpe	0.31	0.37
Prob. Sharpe Ratio	24.44%	43.43%
Smart Sharpe	0.22	0.26
Sortino	0.43	0.47
Smart Sortino	0.3	0.33
Sortino/√2	0.3	0.33
Smart Sortino/√2	0.21	0.23
Omega	1.09	1.09
Max Drawdown	-21.06%	-21.77%
Longest DD Days	240	281
Volatility (ann.)	14.51%	10.6%
R^2	0.44	0.44
Information Ratio	0.0	0.0
Calmar	0.5	0.48
Skew	-1.29	-7.61
Kurtosis	79.4	306.57
Expected Daily	0.04%	0.04%
Expected Monthly	0.82%	0.82%
Expected Yearly	8.11%	8.09%
Kelly Criterion	4.44%	17.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.46%	-1.06%
Expected Shortfall (cVaR)	-1.46%	-1.06%
Max Consecutive Wins	8	23
Max Consecutive Losses	8	13
Gain/Pain Ratio	0.25	0.56
Gain/Pain (1M)	2.37	2.4
Payoff Ratio	0.77	0.7
Profit Factor	1.25	1.56
Common Sense Ratio	1.42	2.19
CPC Index	0.56	0.72
Tail Ratio	1.14	1.4
Outlier Win Ratio	6.7	13.25
Outlier Loss Ratio	4.12	8.82
MTD	0.57%	0.61%
3M	4.98%	4.84%
6M	8.32%	7.86%
YTD	5.89%	5.68%
1Y	19.93%	19.62%
3Y (ann.)	12.67%	12.6%
5Y (ann.)	10.43%	10.4%
10Y (ann.)	10.43%	10.4%
All-time (ann.)	10.43%	10.4%
Best Day	11.77%	10.48%
Worst Day	-14.25%	-15.47%
Best Month	8.18%	8.32%
Worst Month	-9.29%	-11.11%
Best Year	20.86%	20.7%
Worst Year	-0.27%	-0.3%
Avg. Drawdown	-0.68%	-0.55%
Avg. Drawdown Days	10	12
Recovery Factor	2.83	2.73
Ulcer Index	0.03	0.03
Serenity Index	3.79	2.86
Avg. Up Month	1.79%	1.72%
Avg. Down Month	-2.02%	-2.18%
Win Days	58.34%	66.02%
Win Month	73.21%	80.7%
Win Quarter	70.0%	75.0%
Win Year	83.33%	83.33%
Beta	0.9	-
Alpha	0.02	-
Correlation	66.06%	-
Treynor Ratio	58.27%	-