CASH[Strategy] vs INav[Benchmark]

19 Nov, 2024 - 27 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	97.0%
Cumulative Return	21.19%	21.2%
CAGR﹪	20.69%	20.71%
Sharpe	5.58	11.42
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.18	6.51
Sortino	9.61	63.57
Smart Sortino	5.48	36.24
Sortino/√2	6.8	44.95
Smart Sortino/√2	3.88	25.63
Omega	5.26	5.26
Max Drawdown	-0.82%	-0.14%
Longest DD Days	9	1
Volatility (ann.)	2.11%	1.03%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	25.32	144.4
Skew	0.73	4.08
Kurtosis	23.04	33.21
Expected Daily	0.07%	0.07%
Expected Monthly	1.49%	1.49%
Expected Yearly	10.09%	10.09%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.14%	-0.03%
Expected Shortfall (cVaR)	-0.14%	-0.03%
Max Consecutive Wins	229	80
Max Consecutive Losses	2	1
Gain/Pain Ratio	7.18	134.2
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	8.18	135.2
Common Sense Ratio	40.0	568.48
CPC Index	-	-
Tail Ratio	4.89	4.2
Outlier Win Ratio	5.49	6.33
Outlier Loss Ratio	0.43	1.34
MTD	1.18%	1.17%
3M	4.19%	4.2%
6M	9.19%	9.2%
YTD	18.33%	18.69%
1Y	20.73%	20.74%
3Y (ann.)	20.69%	20.71%
5Y (ann.)	20.69%	20.71%
10Y (ann.)	20.69%	20.71%
All-time (ann.)	20.69%	20.71%
Best Day	0.92%	0.7%
Worst Day	-0.82%	-0.14%
Best Month	1.76%	1.92%
Worst Month	0.64%	0.53%
Best Year	18.33%	18.69%
Worst Year	2.41%	2.11%
Avg. Drawdown	-0.63%	-0.14%
Avg. Drawdown Days	6	1
Recovery Factor	25.93	147.88
Ulcer Index	0.0	0.0
Serenity Index	69.17	6855.26
Avg. Up Month	1.49%	1.49%
Avg. Down Month	-	-
Win Days	97.7%	99.6%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.19	-
Alpha	0.22	-
Correlation	-9.14%	-
Treynor Ratio	-75.76%	-