FINC[Strategy] vs INav[Benchmark]

13 Sep, 2024 - 25 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	98.0%
Cumulative Return	41.49%	42.12%
CAGR﹪	18.62%	18.87%
Sharpe	0.48	11.55
Prob. Sharpe Ratio	21.06%	100.0%
Smart Sharpe	0.3	7.21
Sortino	0.95	161.57
Smart Sortino	0.59	100.81
Sortino/√2	0.67	114.25
Smart Sortino/√2	0.42	71.29
Omega	1.92	1.92
Max Drawdown	-40.13%	-0.01%
Longest DD Days	11	1
Volatility (ann.)	59.79%	1.17%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.46	2206.89
Skew	10.38	2.82
Kurtosis	265.67	12.33
Expected Daily	0.08%	0.08%
Expected Monthly	1.4%	1.42%
Expected Yearly	12.26%	12.43%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.05%	-0.04%
Expected Shortfall (cVaR)	-6.05%	-0.04%
Max Consecutive Wins	16	97
Max Consecutive Losses	2	1
Gain/Pain Ratio	1.22	3756.09
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.22	3757.09
Common Sense Ratio	6.42	23616.87
CPC Index	-	-
Tail Ratio	2.9	6.29
Outlier Win Ratio	1.55	6.35
Outlier Loss Ratio	0.36	40.88
MTD	0.87%	1.03%
3M	3.49%	3.59%
6M	7.23%	7.33%
YTD	10.88%	11.16%
1Y	15.95%	16.02%
3Y (ann.)	18.62%	18.87%
5Y (ann.)	18.62%	18.87%
10Y (ann.)	18.62%	18.87%
All-time (ann.)	18.62%	18.87%
Best Day	67.49%	0.63%
Worst Day	-40.13%	-0.01%
Best Month	2.28%	1.84%
Worst Month	0.41%	0.77%
Best Year	20.77%	20.68%
Worst Year	5.67%	5.94%
Avg. Drawdown	-0.57%	-0.0%
Avg. Drawdown Days	2	1
Recovery Factor	1.03	4924.52
Ulcer Index	0.02	0.0
Serenity Index	20.51	9032538.59
Avg. Up Month	1.4%	1.42%
Avg. Down Month	-	-
Win Days	76.12%	99.53%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	2.48	-
Alpha	-0.15	-
Correlation	4.88%	-
Treynor Ratio	13.89%	-