BOND[Strategy] vs INav[Benchmark]

26 Aug, 2022 - 30 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	36.21%	36.02%
CAGR﹪	11.47%	11.41%
Sharpe	0.66	0.81
Prob. Sharpe Ratio	84.1%	93.37%
Smart Sharpe	0.64	0.79
Sortino	0.94	1.16
Smart Sortino	0.91	1.13
Sortino/√2	0.67	0.82
Smart Sortino/√2	0.65	0.8
Omega	1.14	1.14
Max Drawdown	-7.66%	-7.43%
Longest DD Days	183	183
Volatility (ann.)	6.39%	5.03%
R^2	0.57	0.57
Information Ratio	0.0	0.0
Calmar	1.5	1.54
Skew	-0.13	-1.08
Kurtosis	16.17	52.21
Expected Daily	0.04%	0.04%
Expected Monthly	0.89%	0.88%
Expected Yearly	8.03%	7.99%
Kelly Criterion	14.43%	22.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.62%	-0.48%
Expected Shortfall (cVaR)	-0.62%	-0.48%
Max Consecutive Wins	11	25
Max Consecutive Losses	8	12
Gain/Pain Ratio	0.42	0.7
Gain/Pain (1M)	2.77	2.58
Payoff Ratio	0.88	0.96
Profit Factor	1.42	1.7
Common Sense Ratio	1.5	2.12
CPC Index	0.75	1.02
Tail Ratio	1.06	1.25
Outlier Win Ratio	3.93	5.59
Outlier Loss Ratio	3.14	5.3
MTD	2.91%	2.8%
3M	7.78%	7.1%
6M	16.68%	16.46%
YTD	15.71%	15.38%
1Y	19.92%	19.4%
3Y (ann.)	11.47%	11.41%
5Y (ann.)	11.47%	11.41%
10Y (ann.)	11.47%	11.41%
All-time (ann.)	11.47%	11.41%
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	15.71%	15.38%
Worst Year	5.0%	5.28%
Avg. Drawdown	-0.56%	-0.48%
Avg. Drawdown Days	10	12
Recovery Factor	4.73	4.85
Ulcer Index	0.02	0.02
Serenity Index	1.91	1.81
Avg. Up Month	1.66%	1.68%
Avg. Down Month	-1.43%	-1.52%
Win Days	59.91%	61.91%
Win Month	74.29%	77.14%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.96	-
Alpha	0.01	-
Correlation	75.59%	-
Treynor Ratio	30.44%	-