MBGB[Strategy] vs INav[Benchmark]

21 Feb, 2022 - 25 May, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	98.0%
Cumulative Return	8.68%	12.63%
CAGR﹪	6.86%	9.94%
Sharpe	0.79	1.28
Prob. Sharpe Ratio	47.71%	58.15%
Smart Sharpe	0.67	1.09
Sortino	1.05	1.72
Smart Sortino	0.89	1.45
Sortino/√2	0.74	1.21
Smart Sortino/√2	0.63	1.03
Omega	1.16	1.16
Max Drawdown	-12.46%	-12.37%
Longest DD Days	246	214
Volatility (ann.)	31.95%	27.74%
R^2	0.58	0.58
Information Ratio	-0.03	-0.03
Calmar	0.55	0.8
Skew	-1.28	-2.12
Kurtosis	5.1	18.59
Expected Daily	0.11%	0.15%
Expected Monthly	0.52%	0.75%
Expected Yearly	4.25%	6.13%
Kelly Criterion	8.06%	15.92%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.18%	-2.71%
Expected Shortfall (cVaR)	-3.18%	-2.71%
Max Consecutive Wins	5	6
Max Consecutive Losses	3	3
Gain/Pain Ratio	0.2	0.53
Gain/Pain (1M)	0.49	0.84
Payoff Ratio	0.69	0.73
Profit Factor	1.2	1.53
Common Sense Ratio	1.03	3.84
CPC Index	0.52	0.72
Tail Ratio	0.86	2.51
Outlier Win Ratio	3.84	6.29
Outlier Loss Ratio	3.02	5.64
MTD	-1.74%	0.13%
3M	1.75%	1.95%
6M	0.25%	2.2%
YTD	-0.54%	1.5%
1Y	9.42%	9.64%
3Y (ann.)	6.86%	9.94%
5Y (ann.)	6.86%	9.94%
10Y (ann.)	6.86%	9.94%
All-time (ann.)	6.86%	9.94%
Best Day	4.02%	5.76%
Worst Day	-9.24%	-10.35%
Best Month	8.59%	8.35%
Worst Month	-12.46%	-12.37%
Best Year	9.27%	10.96%
Worst Year	-0.54%	1.5%
Avg. Drawdown	-4.23%	-3.22%
Avg. Drawdown Days	54	57
Recovery Factor	0.7	1.02
Ulcer Index	0.04	0.03
Serenity Index	0.14	0.71
Avg. Up Month	2.75%	2.62%
Avg. Down Month	-4.64%	-3.83%
Win Days	62.34%	64.47%
Win Month	68.75%	75.0%
Win Quarter	50.0%	66.67%
Win Year	50.0%	100.0%
Beta	0.88	-
Alpha	-0.05	-
Correlation	76.06%	-
Treynor Ratio	1.92%	-