FINC[Strategy] vs INav[Benchmark]

13 Sep, 2024 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	97.0%
Cumulative Return	39.36%	39.74%
CAGR﹪	18.98%	19.15%
Sharpe	0.5	11.74
Prob. Sharpe Ratio	22.44%	100.0%
Smart Sharpe	0.31	7.32
Sortino	0.97	162.3
Smart Sortino	0.61	101.27
Sortino/√2	0.69	114.76
Smart Sortino/√2	0.43	71.61
Omega	1.93	1.93
Max Drawdown	-40.13%	-0.01%
Longest DD Days	11	1
Volatility (ann.)	62.2%	1.21%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.47	2239.11
Skew	9.98	2.72
Kurtosis	245.54	11.48
Expected Daily	0.08%	0.08%
Expected Monthly	1.39%	1.4%
Expected Yearly	11.7%	11.8%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.29%	-0.04%
Expected Shortfall (cVaR)	-6.29%	-0.04%
Max Consecutive Wins	16	86
Max Consecutive Losses	2	1
Gain/Pain Ratio	1.2	3575.63
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.2	3576.63
Common Sense Ratio	6.46	22862.3
CPC Index	-	-
Tail Ratio	2.93	6.39
Outlier Win Ratio	1.5	6.26
Outlier Loss Ratio	0.33	41.82
MTD	0.34%	0.41%
3M	3.61%	3.69%
6M	7.43%	7.36%
YTD	9.21%	9.3%
1Y	16.72%	16.61%
3Y (ann.)	18.98%	19.15%
5Y (ann.)	18.98%	19.15%
10Y (ann.)	18.98%	19.15%
All-time (ann.)	18.98%	19.15%
Best Day	67.49%	0.63%
Worst Day	-40.13%	-0.01%
Best Month	2.28%	1.84%
Worst Month	0.34%	0.41%
Best Year	20.77%	20.68%
Worst Year	5.67%	5.94%
Avg. Drawdown	-0.64%	-0.0%
Avg. Drawdown Days	3	1
Recovery Factor	0.98	4646.14
Ulcer Index	0.02	0.0
Serenity Index	18.48	7994228.39
Avg. Up Month	1.39%	1.4%
Avg. Down Month	-	-
Win Days	77.09%	99.49%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	2.5	-
Alpha	-0.15	-
Correlation	4.85%	-
Treynor Ratio	12.96%	-