GPBS[Strategy] vs INav[Benchmark]

27 Nov, 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	24.64%	26.3%
CAGR﹪	4.92%	5.23%
Sharpe	0.25	0.61
Prob. Sharpe Ratio	12.71%	83.3%
Smart Sharpe	0.15	0.36
Sortino	0.42	0.8
Smart Sortino	0.24	0.47
Sortino/√2	0.29	0.56
Smart Sortino/√2	0.17	0.33
Omega	1.14	1.14
Max Drawdown	-33.13%	-7.42%
Longest DD Days	183	169
Volatility (ann.)	38.47%	5.34%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.15	0.7
Skew	7.05	-2.9
Kurtosis	253.28	40.06
Expected Daily	0.04%	0.04%
Expected Monthly	0.4%	0.43%
Expected Yearly	3.74%	3.97%
Kelly Criterion	29.53%	13.13%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.92%	-0.51%
Expected Shortfall (cVaR)	-3.92%	-0.51%
Max Consecutive Wins	5	10
Max Consecutive Losses	4	10
Gain/Pain Ratio	0.26	0.55
Gain/Pain (1M)	2.16	1.53
Payoff Ratio	1.55	0.85
Profit Factor	1.26	1.55
Common Sense Ratio	1.46	2.27
CPC Index	1.12	0.79
Tail Ratio	1.16	1.47
Outlier Win Ratio	3.48	8.85
Outlier Loss Ratio	2.04	8.1
MTD	-0.91%	-0.66%
3M	-1.07%	0.21%
6M	1.25%	1.5%
YTD	2.36%	0.71%
1Y	-1.37%	0.44%
3Y (ann.)	4.54%	4.88%
5Y (ann.)	4.92%	5.23%
10Y (ann.)	4.92%	5.23%
All-time (ann.)	4.92%	5.23%
Best Day	45.25%	1.84%
Worst Day	-31.79%	-4.0%
Best Month	4.86%	5.19%
Worst Month	-5.24%	-4.83%
Best Year	9.49%	9.51%
Worst Year	0.47%	0.71%
Avg. Drawdown	-1.62%	-0.44%
Avg. Drawdown Days	23	18
Recovery Factor	0.74	3.54
Ulcer Index	0.02	0.01
Serenity Index	4.86	2.46
Avg. Up Month	1.22%	1.11%
Avg. Down Month	-1.07%	-1.08%
Win Days	57.14%	60.1%
Win Month	62.96%	70.37%
Win Quarter	73.68%	73.68%
Win Year	100.0%	100.0%
Beta	0.5	-
Alpha	0.11	-
Correlation	7.0%	-
Treynor Ratio	35.0%	-