PRIE[Strategy] vs INav[Benchmark]

21 Nov, 2023 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	8.52%	15.31%
CAGR﹪	3.27%	5.77%
Sharpe	0.05	0.19
Prob. Sharpe Ratio	13.2%	16.1%
Smart Sharpe	0.04	0.13
Sortino	0.07	0.29
Smart Sortino	0.05	0.21
Sortino/√2	0.05	0.21
Smart Sortino/√2	0.04	0.15
Omega	1.01	1.01
Max Drawdown	-21.91%	-21.86%
Longest DD Days	526	553
Volatility (ann.)	27.35%	32.43%
R^2	0.16	0.16
Information Ratio	-0.01	-0.01
Calmar	0.15	0.26
Skew	0.66	1.4
Kurtosis	12.58	29.94
Expected Daily	0.02%	0.03%
Expected Monthly	0.26%	0.45%
Expected Yearly	2.07%	3.62%
Kelly Criterion	6.69%	3.27%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.8%	-3.31%
Expected Shortfall (cVaR)	-2.8%	-3.31%
Max Consecutive Wins	7	8
Max Consecutive Losses	7	7
Gain/Pain Ratio	0.06	0.09
Gain/Pain (1M)	0.42	0.53
Payoff Ratio	1.19	1.17
Profit Factor	1.06	1.09
Common Sense Ratio	1.19	1.19
CPC Index	0.63	0.61
Tail Ratio	1.12	1.09
Outlier Win Ratio	5.76	4.58
Outlier Loss Ratio	4.02	3.91
MTD	3.36%	2.3%
3M	-0.58%	-1.89%
6M	1.53%	1.3%
YTD	-2.05%	-2.8%
1Y	1.77%	1.41%
3Y (ann.)	3.27%	5.77%
5Y (ann.)	3.27%	5.77%
10Y (ann.)	3.27%	5.77%
All-time (ann.)	3.27%	5.77%
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	63	78
Recovery Factor	0.39	0.7
Ulcer Index	0.13	0.12
Serenity Index	0.01	0.07
Avg. Up Month	2.79%	3.23%
Avg. Down Month	-2.93%	-4.16%
Win Days	49.2%	47.85%
Win Month	56.25%	62.5%
Win Quarter	63.64%	54.55%
Win Year	50.0%	50.0%
Beta	0.33	-
Alpha	0.04	-
Correlation	39.44%	-
Treynor Ratio	4.58%	-