PRIE[Strategy] vs INav[Benchmark]

21 Nov, 2023 - 2 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	10.41%	17.67%
CAGR﹪	7.53%	12.66%
Sharpe	0.27	0.45
Prob. Sharpe Ratio	26.01%	31.15%
Smart Sharpe	0.18	0.3
Sortino	0.41	0.72
Smart Sortino	0.27	0.48
Sortino/√2	0.29	0.51
Smart Sortino/√2	0.19	0.34
Omega	1.06	1.06
Max Drawdown	-20.68%	-18.7%
Longest DD Days	175	168
Volatility (ann.)	34.83%	38.08%
R^2	0.12	0.12
Information Ratio	-0.01	-0.01
Calmar	0.36	0.68
Skew	0.55	1.47
Kurtosis	8.24	28.98
Expected Daily	0.04%	0.07%
Expected Monthly	0.55%	0.91%
Expected Yearly	3.36%	5.57%
Kelly Criterion	9.76%	7.73%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.55%	-3.85%
Expected Shortfall (cVaR)	-3.55%	-3.85%
Max Consecutive Wins	7	8
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.1	0.16
Gain/Pain (1M)	0.92	1.01
Payoff Ratio	1.21	1.25
Profit Factor	1.1	1.16
Common Sense Ratio	1.44	1.72
CPC Index	0.67	0.71
Tail Ratio	1.3	1.48
Outlier Win Ratio	5.53	5.14
Outlier Loss Ratio	4.63	5.43
MTD	-1.68%	-2.45%
3M	-12.04%	-12.07%
6M	2.69%	1.88%
YTD	-12.04%	-12.07%
1Y	3.3%	2.47%
3Y (ann.)	7.53%	12.66%
5Y (ann.)	7.53%	12.66%
10Y (ann.)	7.53%	12.66%
All-time (ann.)	7.53%	12.66%
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	-12.04%	-12.07%
Avg. Drawdown	-5.24%	-5.27%
Avg. Drawdown Days	32	39
Recovery Factor	0.5	0.94
Ulcer Index	0.07	0.06
Serenity Index	0.08	0.34
Avg. Up Month	3.26%	4.13%
Avg. Down Month	-2.62%	-3.93%
Win Days	50.65%	48.77%
Win Month	55.56%	61.11%
Win Quarter	71.43%	57.14%
Win Year	66.67%	66.67%
Beta	0.31	-
Alpha	0.09	-
Correlation	33.91%	-
Treynor Ratio	11.0%	-