ESGE[Strategy] vs INav[Benchmark]

5 Aug, 2022 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	54.72%	55.18%
CAGR﹪	15.49%	15.61%
Sharpe	0.45	0.46
Prob. Sharpe Ratio	26.85%	28.22%
Smart Sharpe	0.43	0.44
Sortino	0.64	0.66
Smart Sortino	0.61	0.63
Sortino/√2	0.45	0.47
Smart Sortino/√2	0.43	0.45
Omega	1.08	1.08
Max Drawdown	-33.35%	-33.36%
Longest DD Days	452	452
Volatility (ann.)	22.02%	21.23%
R^2	0.67	0.67
Information Ratio	0.0	0.0
Calmar	0.46	0.47
Skew	-0.09	0.06
Kurtosis	4.04	4.67
Expected Daily	0.06%	0.06%
Expected Monthly	1.19%	1.19%
Expected Yearly	11.53%	11.61%
Kelly Criterion	4.18%	6.48%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.22%	-2.13%
Expected Shortfall (cVaR)	-2.22%	-2.13%
Max Consecutive Wins	10	10
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.14	0.15
Gain/Pain (1M)	0.67	0.65
Payoff Ratio	0.88	0.94
Profit Factor	1.14	1.15
Common Sense Ratio	1.1	1.13
CPC Index	0.56	0.59
Tail Ratio	0.96	0.98
Outlier Win Ratio	3.95	4.09
Outlier Loss Ratio	3.45	3.69
MTD	11.5%	11.98%
3M	11.57%	9.33%
6M	-0.94%	-0.24%
YTD	7.7%	8.32%
1Y	7.4%	7.1%
3Y (ann.)	11.7%	11.64%
5Y (ann.)	15.49%	15.61%
10Y (ann.)	15.49%	15.61%
All-time (ann.)	15.49%	15.61%
Best Day	8.47%	8.87%
Worst Day	-7.64%	-6.45%
Best Month	15.75%	15.19%
Worst Month	-16.36%	-18.13%
Best Year	37.09%	37.21%
Worst Year	-3.41%	-3.94%
Avg. Drawdown	-3.4%	-3.42%
Avg. Drawdown Days	36	37
Recovery Factor	1.64	1.65
Ulcer Index	0.14	0.14
Serenity Index	0.2	0.19
Avg. Up Month	5.36%	5.46%
Avg. Down Month	-5.82%	-5.95%
Win Days	55.1%	54.81%
Win Month	64.86%	64.86%
Win Quarter	61.54%	61.54%
Win Year	75.0%	75.0%
Beta	0.85	-
Alpha	0.03	-
Correlation	81.64%	-
Treynor Ratio	56.35%	-