PRIE[Strategy] vs INav[Benchmark]

21 Nov, 2023 - 20 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	100.0%
Cumulative Return	16.96%	23.45%
CAGR﹪	6.96%	9.47%
Sharpe	0.23	0.33
Prob. Sharpe Ratio	19.88%	22.26%
Smart Sharpe	0.16	0.24
Sortino	0.34	0.53
Smart Sortino	0.24	0.37
Sortino/√2	0.24	0.37
Smart Sortino/√2	0.17	0.26
Omega	1.05	1.05
Max Drawdown	-21.91%	-21.86%
Longest DD Days	449	476
Volatility (ann.)	28.24%	33.3%
R^2	0.15	0.15
Information Ratio	-0.01	-0.01
Calmar	0.32	0.43
Skew	0.63	1.4
Kurtosis	11.98	29.39
Expected Daily	0.04%	0.05%
Expected Monthly	0.54%	0.73%
Expected Yearly	3.99%	5.41%
Kelly Criterion	8.72%	4.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.87%	-3.38%
Expected Shortfall (cVaR)	-2.87%	-3.38%
Max Consecutive Wins	7	8
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.1	0.13
Gain/Pain (1M)	0.79	0.8
Payoff Ratio	1.18	1.18
Profit Factor	1.1	1.13
Common Sense Ratio	1.23	1.36
CPC Index	0.66	0.64
Tail Ratio	1.11	1.2
Outlier Win Ratio	5.8	4.61
Outlier Loss Ratio	4.24	4.27
MTD	7.65%	5.86%
3M	4.03%	2.18%
6M	0.22%	-0.92%
YTD	5.57%	4.06%
1Y	9.42%	6.89%
3Y (ann.)	6.96%	9.47%
5Y (ann.)	6.96%	9.47%
10Y (ann.)	6.96%	9.47%
All-time (ann.)	6.96%	9.47%
Best Day	11.31%	20.33%
Worst Day	-10.1%	-16.11%
Best Month	11.56%	12.34%
Worst Month	-5.04%	-10.73%
Best Year	19.44%	19.89%
Worst Year	-11.74%	-11.35%
Avg. Drawdown	-5.33%	-5.55%
Avg. Drawdown Days	58	71
Recovery Factor	0.77	1.07
Ulcer Index	0.13	0.11
Serenity Index	0.06	0.16
Avg. Up Month	2.96%	3.4%
Avg. Down Month	-2.74%	-4.29%
Win Days	50.63%	48.47%
Win Month	58.62%	65.52%
Win Quarter	70.0%	60.0%
Win Year	75.0%	75.0%
Beta	0.32	-
Alpha	0.07	-
Correlation	38.3%	-
Treynor Ratio	30.66%	-