BOND[Strategy] vs INav[Benchmark]

26 Aug, 2022 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	47.35%	47.26%
CAGR﹪	13.16%	13.14%
Sharpe	0.92	1.15
Prob. Sharpe Ratio	93.74%	98.02%
Smart Sharpe	0.89	1.11
Sortino	1.32	1.66
Smart Sortino	1.28	1.61
Sortino/√2	0.93	1.17
Smart Sortino/√2	0.9	1.14
Omega	1.2	1.2
Max Drawdown	-7.66%	-7.43%
Longest DD Days	183	183
Volatility (ann.)	6.19%	4.86%
R^2	0.57	0.57
Information Ratio	0.0	0.0
Calmar	1.72	1.77
Skew	-0.18	-1.13
Kurtosis	16.82	54.46
Expected Daily	0.05%	0.05%
Expected Monthly	1.0%	1.0%
Expected Yearly	10.18%	10.16%
Kelly Criterion	17.47%	26.2%
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	0.5	0.84
Gain/Pain (1M)	3.38	3.23
Payoff Ratio	0.86	0.99
Profit Factor	1.5	1.84
Common Sense Ratio	1.51	2.37
CPC Index	0.8	1.16
Tail Ratio	1.01	1.29
Outlier Win Ratio	3.7	5.09
Outlier Loss Ratio	3.15	5.39
MTD	0.92%	0.28%
3M	7.03%	6.71%
6M	15.92%	15.85%
YTD	25.17%	24.9%
1Y	28.73%	27.91%
3Y (ann.)	12.97%	12.99%
5Y (ann.)	13.16%	13.14%
10Y (ann.)	13.16%	13.14%
All-time (ann.)	13.16%	13.14%
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	25.17%	24.9%
Worst Year	5.0%	5.28%
Avg. Drawdown	-0.55%	-0.46%
Avg. Drawdown Days	10	12
Recovery Factor	6.18	6.36
Ulcer Index	0.02	0.02
Serenity Index	2.79	2.67
Avg. Up Month	1.78%	1.77%
Avg. Down Month	-1.43%	-1.52%
Win Days	61.91%	63.24%
Win Month	74.36%	79.49%
Win Quarter	78.57%	78.57%
Win Year	100.0%	100.0%
Beta	0.96	-
Alpha	0.01	-
Correlation	75.2%	-
Treynor Ratio	42.17%	-