ESGE[Strategy] vs INav[Benchmark]

5 Aug, 2022 - 20 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	41.79%	42.87%
CAGR﹪	10.11%	10.34%
Sharpe	0.24	0.25
Prob. Sharpe Ratio	14.11%	14.89%
Smart Sharpe	0.23	0.24
Sortino	0.34	0.35
Smart Sortino	0.33	0.35
Sortino/√2	0.24	0.25
Smart Sortino/√2	0.23	0.25
Omega	1.04	1.04
Max Drawdown	-33.35%	-33.36%
Longest DD Days	669	669
Volatility (ann.)	21.78%	21.17%
R^2	0.7	0.7
Information Ratio	-0.0	-0.0
Calmar	0.3	0.31
Skew	0.02	0.17
Kurtosis	4.05	4.51
Expected Daily	0.04%	0.04%
Expected Monthly	0.8%	0.81%
Expected Yearly	7.23%	7.4%
Kelly Criterion	2.49%	4.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.21%	-2.15%
Expected Shortfall (cVaR)	-2.21%	-2.15%
Max Consecutive Wins	10	10
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.1	0.11
Gain/Pain (1M)	0.46	0.46
Payoff Ratio	0.9	0.95
Profit Factor	1.1	1.11
Common Sense Ratio	1.04	1.1
CPC Index	0.53	0.56
Tail Ratio	0.94	1.0
Outlier Win Ratio	3.91	4.01
Outlier Loss Ratio	3.45	3.64
MTD	-1.64%	-1.48%
3M	1.41%	1.78%
6M	2.49%	2.99%
YTD	2.41%	2.77%
1Y	-11.71%	-11.59%
3Y (ann.)	4.06%	3.99%
5Y (ann.)	10.11%	10.34%
10Y (ann.)	10.11%	10.34%
All-time (ann.)	10.11%	10.34%
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	-3.63%	-3.94%
Avg. Drawdown	-3.4%	-3.42%
Avg. Drawdown Days	44	45
Recovery Factor	1.25	1.29
Ulcer Index	0.15	0.15
Serenity Index	0.12	0.12
Avg. Up Month	5.13%	5.21%
Avg. Down Month	-5.51%	-5.58%
Win Days	53.85%	53.65%
Win Month	61.36%	61.36%
Win Quarter	60.0%	60.0%
Win Year	60.0%	60.0%
Beta	0.86	-
Alpha	0.02	-
Correlation	83.79%	-
Treynor Ratio	40.37%	-