MONY[Strategy] vs INav[Benchmark]

9 Jan, 2025 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	91.0%	97.0%
Cumulative Return	12.23%	13.11%
CAGR﹪	21.3%	22.91%
Sharpe	9.11	10.3
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	7.43	8.4
Sortino	23.74	43.62
Smart Sortino	19.36	35.58
Sortino/√2	16.78	30.85
Smart Sortino/√2	13.69	25.16
Omega	5.12	5.12
Max Drawdown	-0.22%	-0.2%
Longest DD Days	4	3
Volatility (ann.)	1.33%	1.3%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	96.75	113.16
Skew	0.36	3.98
Kurtosis	1.29	30.18
Expected Daily	0.07%	0.08%
Expected Monthly	1.45%	1.55%
Expected Yearly	12.23%	13.11%
Kelly Criterion	80.72%	97.95%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.05%
Expected Shortfall (cVaR)	-0.06%	-0.05%
Max Consecutive Wins	23	75
Max Consecutive Losses	2	2
Gain/Pain Ratio	13.63	60.2
Gain/Pain (1M)	-	-
Payoff Ratio	1.27	61.05
Profit Factor	14.63	61.2
Common Sense Ratio	107.75	501.51
CPC Index	16.6	3661.2
Tail Ratio	7.37	8.19
Outlier Win Ratio	3.36	3.6
Outlier Loss Ratio	0.91	0.76
MTD	0.56%	0.71%
3M	4.77%	4.94%
6M	10.2%	10.38%
YTD	12.23%	13.11%
1Y	12.23%	13.11%
3Y (ann.)	21.3%	22.91%
5Y (ann.)	21.3%	22.91%
10Y (ann.)	21.3%	22.91%
All-time (ann.)	21.3%	22.91%
Best Day	0.36%	0.75%
Worst Day	-0.22%	-0.2%
Best Month	1.83%	1.82%
Worst Month	0.56%	0.71%
Best Year	12.23%	13.11%
Worst Year	12.23%	13.11%
Avg. Drawdown	-0.06%	-0.1%
Avg. Drawdown Days	2	2
Recovery Factor	55.52	64.76
Ulcer Index	0.0	0.0
Serenity Index	244.87	1087.34
Avg. Up Month	1.45%	1.55%
Avg. Down Month	-	-
Win Days	89.21%	97.99%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.06	-
Alpha	0.18	-
Correlation	5.43%	-
Treynor Ratio	94.2%	-