PSGM[Strategy] vs INav[Benchmark]

18 Apr, 2025 - 2 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	90.0%	90.0%
Cumulative Return	-1.81%	-1.26%
CAGR﹪	-37.95%	-28.09%
Sharpe	-2.11	-1.54
Prob. Sharpe Ratio	28.51%	32.5%
Smart Sharpe	-1.66	-1.21
Sortino	-2.77	-2.07
Smart Sortino	-2.17	-1.63
Sortino/√2	-1.96	-1.46
Smart Sortino/√2	-1.54	-1.15
Omega	0.67	0.67
Max Drawdown	-4.56%	-4.65%
Longest DD Days	9	9
Volatility (ann.)	23.8%	23.48%
R^2	0.96	0.96
Information Ratio	-0.18	-0.18
Calmar	-8.32	-6.04
Skew	-0.39	-0.42
Kurtosis	1.88	1.5
Expected Daily	-0.18%	-0.13%
Expected Monthly	-0.91%	-0.63%
Expected Yearly	-1.81%	-1.26%
Kelly Criterion	-14.04%	-8.48%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.64%	-2.55%
Expected Shortfall (cVaR)	-2.64%	-2.55%
Max Consecutive Wins	2	2
Max Consecutive Losses	5	5
Gain/Pain Ratio	-0.3	-0.2
Gain/Pain (1M)	-1.0	-1.0
Payoff Ratio	1.41	1.59
Profit Factor	0.7	0.8
Common Sense Ratio	0.57	0.66
CPC Index	0.33	0.42
Tail Ratio	0.81	0.83
Outlier Win Ratio	2.25	2.01
Outlier Loss Ratio	3.11	3.15
MTD	-0.14%	-0.24%
3M	-1.81%	-1.26%
6M	-1.81%	-1.26%
YTD	-1.81%	-1.26%
1Y	-1.81%	-1.26%
3Y (ann.)	-37.95%	-28.09%
5Y (ann.)	-37.95%	-28.09%
10Y (ann.)	-37.95%	-28.09%
All-time (ann.)	-37.95%	-28.09%
Best Day	2.46%	2.37%
Worst Day	-3.26%	-3.15%
Best Month	-0.14%	-0.24%
Worst Month	-1.68%	-1.02%
Best Year	-1.81%	-1.26%
Worst Year	-1.81%	-1.26%
Avg. Drawdown	-4.56%	-4.65%
Avg. Drawdown Days	9	9
Recovery Factor	-0.4	-0.27
Ulcer Index	0.03	0.03
Serenity Index	-0.73	-0.65
Avg. Up Month	-	-
Avg. Down Month	-0.91%	-0.63%
Win Days	33.33%	33.33%
Win Month	0.0%	0.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	0.99	-
Alpha	-0.14	-
Correlation	97.91%	-
Treynor Ratio	-8.88%	-