BOND[Strategy] vs INav[Benchmark]

26 Aug, 2022 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	66.9%	66.87%
CAGR﹪	14.52%	14.51%
Sharpe	1.16	1.48
Prob. Sharpe Ratio	98.66%	99.71%
Smart Sharpe	1.13	1.44
Sortino	1.69	2.16
Smart Sortino	1.63	2.09
Sortino/√2	1.19	1.53
Smart Sortino/√2	1.16	1.48
Omega	1.27	1.27
Max Drawdown	-7.66%	-7.43%
Longest DD Days	183	183
Volatility (ann.)	5.9%	4.59%
R^2	0.56	0.56
Information Ratio	0.0	0.0
Calmar	1.89	1.95
Skew	-0.2	-1.16
Kurtosis	17.07	57.45
Expected Daily	0.05%	0.05%
Expected Monthly	1.1%	1.1%
Expected Yearly	10.79%	10.78%
Kelly Criterion	20.61%	30.13%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.56%	-0.42%
Expected Shortfall (cVaR)	-0.56%	-0.42%
Max Consecutive Wins	15	25
Max Consecutive Losses	8	12
Gain/Pain Ratio	0.59	1.01
Gain/Pain (1M)	4.46	4.27
Payoff Ratio	0.85	0.99
Profit Factor	1.59	2.01
Common Sense Ratio	1.66	2.83
CPC Index	0.86	1.3
Tail Ratio	1.04	1.41
Outlier Win Ratio	3.54	4.84
Outlier Loss Ratio	3.11	5.28
MTD	0.61%	0.54%
3M	5.54%	5.56%
6M	9.12%	9.14%
YTD	8.72%	8.84%
1Y	24.74%	24.75%
3Y (ann.)	14.58%	14.62%
5Y (ann.)	14.52%	14.51%
10Y (ann.)	14.52%	14.51%
All-time (ann.)	14.52%	14.51%
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	5.0%	5.28%
Avg. Drawdown	-0.49%	-0.41%
Avg. Drawdown Days	9	10
Recovery Factor	8.73	8.99
Ulcer Index	0.02	0.01
Serenity Index	4.69	4.45
Avg. Up Month	1.73%	1.73%
Avg. Down Month	-1.43%	-1.52%
Win Days	63.41%	65.2%
Win Month	78.72%	82.98%
Win Quarter	81.25%	81.25%
Win Year	100.0%	100.0%
Beta	0.97	-
Alpha	0.01	-
Correlation	75.13%	-
Treynor Ratio	61.97%	-