PSGM[Strategy] vs INav[Benchmark]

23 Apr, 2025 - 13 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	31.49%	32.2%
CAGR﹪	45.8%	46.88%
Sharpe	1.68	1.72
Prob. Sharpe Ratio	77.86%	78.95%
Smart Sharpe	1.62	1.66
Sortino	2.57	2.65
Smart Sortino	2.47	2.55
Sortino/√2	1.82	1.87
Smart Sortino/√2	1.75	1.8
Omega	1.33	1.33
Max Drawdown	-10.49%	-9.63%
Longest DD Days	129	117
Volatility (ann.)	19.65%	19.63%
R^2	0.81	0.81
Information Ratio	-0.01	-0.01
Calmar	4.37	4.87
Skew	-0.18	-0.11
Kurtosis	1.46	1.2
Expected Daily	0.15%	0.15%
Expected Monthly	2.78%	2.83%
Expected Yearly	14.67%	14.98%
Kelly Criterion	13.77%	16.14%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.88%	-1.87%
Expected Shortfall (cVaR)	-1.88%	-1.87%
Max Consecutive Wins	6	9
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.41	0.42
Gain/Pain (1M)	4.84	4.63
Payoff Ratio	1.17	1.11
Profit Factor	1.41	1.42
Common Sense Ratio	1.79	1.73
CPC Index	0.88	0.89
Tail Ratio	1.27	1.21
Outlier Win Ratio	3.27	3.41
Outlier Loss Ratio	4.22	4.06
MTD	5.47%	5.48%
3M	10.39%	11.4%
6M	37.67%	37.68%
YTD	5.47%	5.48%
1Y	31.49%	32.2%
3Y (ann.)	45.8%	46.88%
5Y (ann.)	45.8%	46.88%
10Y (ann.)	45.8%	46.88%
All-time (ann.)	45.8%	46.88%
Best Day	3.38%	3.54%
Worst Day	-4.19%	-4.12%
Best Month	13.55%	13.41%
Worst Month	-3.95%	-3.91%
Best Year	24.67%	25.33%
Worst Year	5.47%	5.48%
Avg. Drawdown	-2.51%	-2.75%
Avg. Drawdown Days	23	23
Recovery Factor	3.0	3.34
Ulcer Index	0.05	0.04
Serenity Index	0.83	0.88
Avg. Up Month	5.78%	6.0%
Avg. Down Month	-2.04%	-2.09%
Win Days	53.59%	55.8%
Win Month	70.0%	60.0%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.9	-
Alpha	0.03	-
Correlation	89.9%	-
Treynor Ratio	27.21%	-