INFL[Strategy] vs INav[Benchmark]

30 Dec, 2021 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	97.0%	98.0%
Cumulative Return	15.53%	15.12%
CAGR﹪	6.47%	6.3%
Sharpe	-14.54	-16.61
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-14.14	-16.15
Sortino	-13.03	-13.9
Smart Sortino	-12.67	-13.52
Sortino/√2	-9.21	-9.83
Smart Sortino/√2	-8.96	-9.56
Omega	0.04	0.04
Max Drawdown	-11.03%	-9.46%
Longest DD Days	248	248
Volatility (ann.)	13.84%	12.14%
R^2	0.93	0.93
Information Ratio	0.01	0.01
Calmar	0.59	0.67
Skew	9.68	13.14
Kurtosis	255.23	319.71
Expected Daily	0.03%	0.03%
Expected Monthly	0.52%	0.5%
Expected Yearly	3.68%	3.58%
Kelly Criterion	10.13%	15.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.4%	-1.23%
Expected Shortfall (cVaR)	-1.4%	-1.23%
Max Consecutive Wins	7	20
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.26	0.36
Gain/Pain (1M)	0.88	0.92
Payoff Ratio	1.1	1.01
Profit Factor	1.26	1.36
Common Sense Ratio	1.38	1.27
CPC Index	0.73	0.79
Tail Ratio	1.1	0.94
Outlier Win Ratio	2.77	4.04
Outlier Loss Ratio	2.9	3.95
MTD	-1.23%	-1.15%
3M	-2.93%	-3.01%
6M	-4.05%	-4.4%
YTD	-2.73%	-2.82%
1Y	-4.18%	-4.41%
3Y (ann.)	6.47%	6.3%
5Y (ann.)	6.47%	6.3%
10Y (ann.)	6.47%	6.3%
All-time (ann.)	6.47%	6.3%
Best Day	16.44%	15.47%
Worst Day	-9.67%	-7.64%
Best Month	19.35%	18.6%
Worst Month	-7.89%	-6.67%
Best Year	17.01%	16.81%
Worst Year	-2.73%	-2.82%
Avg. Drawdown	-0.67%	-0.7%
Avg. Drawdown Days	13	17
Recovery Factor	1.41	1.6
Ulcer Index	0.03	0.03
Serenity Index	-36.46	-33.19
Avg. Up Month	2.2%	2.07%
Avg. Down Month	-1.88%	-1.67%
Win Days	53.01%	57.41%
Win Month	62.96%	59.26%
Win Quarter	50.0%	50.0%
Win Year	66.67%	66.67%
Beta	1.1	-
Alpha	-0.0	-
Correlation	96.28%	-
Treynor Ratio	-623.63%	-