PRIE[Strategy] vs INav[Benchmark]

21 Nov, 2023 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	11.42%	19.4%
CAGR﹪	5.39%	8.99%
Sharpe	0.16	0.32
Prob. Sharpe Ratio	18.68%	22.65%
Smart Sharpe	0.11	0.22
Sortino	0.24	0.5
Smart Sortino	0.17	0.35
Sortino/√2	0.17	0.36
Smart Sortino/√2	0.12	0.25
Omega	1.03	1.03
Max Drawdown	-21.91%	-21.86%
Longest DD Days	351	378
Volatility (ann.)	29.6%	34.69%
R^2	0.13	0.13
Information Ratio	-0.01	-0.01
Calmar	0.25	0.41
Skew	0.62	1.41
Kurtosis	11.03	28.09
Expected Daily	0.03%	0.05%
Expected Monthly	0.42%	0.68%
Expected Yearly	3.67%	6.09%
Kelly Criterion	8.96%	5.23%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.02%	-3.52%
Expected Shortfall (cVaR)	-3.02%	-3.52%
Max Consecutive Wins	7	8
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.09	0.12
Gain/Pain (1M)	0.67	0.77
Payoff Ratio	1.23	1.25
Profit Factor	1.09	1.12
Common Sense Ratio	1.35	1.57
CPC Index	0.66	0.67
Tail Ratio	1.24	1.4
Outlier Win Ratio	5.62	4.55
Outlier Loss Ratio	4.6	4.81
MTD	2.31%	2.98%
3M	-6.55%	-6.65%
6M	5.11%	5.14%
YTD	-11.23%	-10.78%
1Y	-6.55%	-9.1%
3Y (ann.)	5.39%	8.99%
5Y (ann.)	5.39%	8.99%
10Y (ann.)	5.39%	8.99%
All-time (ann.)	5.39%	8.99%
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	-11.23%	-10.78%
Avg. Drawdown	-5.33%	-5.55%
Avg. Drawdown Days	51	62
Recovery Factor	0.52	0.89
Ulcer Index	0.12	0.11
Serenity Index	0.03	0.14
Avg. Up Month	2.83%	3.42%
Avg. Down Month	-2.77%	-4.44%
Win Days	49.86%	47.34%
Win Month	57.69%	65.38%
Win Quarter	66.67%	55.56%
Win Year	66.67%	66.67%
Beta	0.31	-
Alpha	0.06	-
Correlation	36.59%	-
Treynor Ratio	14.15%	-