GPBM[Strategy] vs INav[Benchmark]

25 Sep, 2019 - 26 Jun, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	80.0%	100.0%
Cumulative Return	17.32%	18.11%
CAGR﹪	3.41%	3.56%
Sharpe	0.05	0.02
Prob. Sharpe Ratio	16.66%	37.89%
Smart Sharpe	0.04	0.01
Sortino	0.07	0.03
Smart Sortino	0.05	0.02
Sortino/√2	0.05	0.02
Smart Sortino/√2	0.04	0.01
Omega	1.01	1.01
Max Drawdown	-16.05%	-14.84%
Longest DD Days	529	543
Volatility (ann.)	15.63%	7.61%
R^2	0.06	0.06
Information Ratio	0.0	0.0
Calmar	0.21	0.24
Skew	-1.35	-1.27
Kurtosis	28.82	16.33
Expected Daily	0.03%	0.03%
Expected Monthly	0.28%	0.29%
Expected Yearly	2.7%	2.81%
Kelly Criterion	5.7%	8.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.59%	-0.76%
Expected Shortfall (cVaR)	-1.59%	-0.76%
Max Consecutive Wins	8	14
Max Consecutive Losses	6	8
Gain/Pain Ratio	0.13	0.23
Gain/Pain (1M)	0.59	0.52
Payoff Ratio	0.93	0.85
Profit Factor	1.13	1.23
Common Sense Ratio	1.26	1.58
CPC Index	0.57	0.61
Tail Ratio	1.11	1.28
Outlier Win Ratio	5.3	8.56
Outlier Loss Ratio	3.91	8.85
MTD	-1.63%	-1.83%
3M	-4.29%	-2.84%
6M	-2.43%	-0.94%
YTD	-2.58%	-2.75%
1Y	-5.34%	-5.52%
3Y (ann.)	1.37%	1.55%
5Y (ann.)	3.41%	3.56%
10Y (ann.)	3.41%	3.56%
All-time (ann.)	3.41%	3.56%
Best Day	6.29%	2.78%
Worst Day	-10.58%	-3.75%
Best Month	5.59%	6.25%
Worst Month	-7.06%	-8.78%
Best Year	9.58%	9.76%
Worst Year	-2.58%	-2.75%
Avg. Drawdown	-1.86%	-1.01%
Avg. Drawdown Days	45	33
Recovery Factor	1.08	1.22
Ulcer Index	0.03	0.03
Serenity Index	0.45	0.31
Avg. Up Month	1.6%	1.58%
Avg. Down Month	-1.76%	-1.77%
Win Days	54.56%	57.75%
Win Month	61.82%	62.5%
Win Quarter	57.89%	57.89%
Win Year	50.0%	66.67%
Beta	0.51	-
Alpha	0.04	-
Correlation	24.98%	-
Treynor Ratio	20.12%	-