BOND[Strategy] vs INav[Benchmark]

26 Aug, 2022 - 13 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	54.51%	54.32%
CAGR﹪	13.71%	13.67%
Sharpe	1.0	1.26
Prob. Sharpe Ratio	95.9%	98.95%
Smart Sharpe	0.97	1.22
Sortino	1.44	1.84
Smart Sortino	1.4	1.78
Sortino/√2	1.02	1.3
Smart Sortino/√2	0.99	1.26
Omega	1.22	1.22
Max Drawdown	-7.66%	-7.43%
Longest DD Days	183	183
Volatility (ann.)	6.19%	4.81%
R^2	0.56	0.56
Information Ratio	0.0	0.0
Calmar	1.79	1.84
Skew	-0.18	-1.1
Kurtosis	15.56	52.91
Expected Daily	0.05%	0.05%
Expected Monthly	1.04%	1.04%
Expected Yearly	9.09%	9.06%
Kelly Criterion	18.35%	27.18%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.59%	-0.45%
Expected Shortfall (cVaR)	-0.59%	-0.45%
Max Consecutive Wins	15	25
Max Consecutive Losses	8	12
Gain/Pain Ratio	0.51	0.88
Gain/Pain (1M)	3.8	3.62
Payoff Ratio	0.86	1.0
Profit Factor	1.51	1.88
Common Sense Ratio	1.61	2.5
CPC Index	0.81	1.2
Tail Ratio	1.06	1.33
Outlier Win Ratio	3.55	4.93
Outlier Loss Ratio	3.09	5.34
MTD	0.65%	0.65%
3M	5.03%	4.92%
6M	12.23%	11.82%
YTD	0.65%	0.65%
1Y	29.5%	28.71%
3Y (ann.)	13.27%	13.25%
5Y (ann.)	13.71%	13.67%
10Y (ann.)	13.71%	13.67%
All-time (ann.)	13.71%	13.67%
Best Day	3.29%	2.69%
Worst Day	-3.42%	-3.97%
Best Month	6.98%	7.13%
Worst Month	-3.39%	-3.05%
Best Year	30.41%	30.05%
Worst Year	0.65%	0.65%
Avg. Drawdown	-0.55%	-0.45%
Avg. Drawdown Days	10	11
Recovery Factor	7.11	7.31
Ulcer Index	0.02	0.02
Serenity Index	3.5	3.3
Avg. Up Month	1.76%	1.75%
Avg. Down Month	-1.43%	-1.52%
Win Days	62.14%	63.59%
Win Month	76.19%	80.95%
Win Quarter	80.0%	80.0%
Win Year	100.0%	100.0%
Beta	0.97	-
Alpha	0.01	-
Correlation	75.13%	-
Treynor Ratio	49.15%	-