PSRB[Strategy] vs INav[Benchmark]

27 Nov, 2024 - 22 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	34.12%	35.27%
CAGR﹪	21.9%	22.61%
Sharpe	1.05	1.12
Prob. Sharpe Ratio	71.43%	74.19%
Smart Sharpe	0.84	0.89
Sortino	1.74	1.78
Smart Sortino	1.39	1.42
Sortino/√2	1.23	1.26
Smart Sortino/√2	0.99	1.01
Omega	1.21	1.21
Max Drawdown	-8.86%	-8.46%
Longest DD Days	181	120
Volatility (ann.)	13.24%	12.91%
R^2	0.31	0.31
Information Ratio	-0.0	-0.0
Calmar	2.47	2.67
Skew	0.75	0.73
Kurtosis	2.81	23.72
Expected Daily	0.08%	0.08%
Expected Monthly	1.56%	1.6%
Expected Yearly	10.28%	10.59%
Kelly Criterion	11.47%	19.29%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.29%	-1.25%
Expected Shortfall (cVaR)	-1.29%	-1.25%
Max Consecutive Wins	6	10
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.32	0.47
Gain/Pain (1M)	3.26	3.91
Payoff Ratio	1.43	1.22
Profit Factor	1.32	1.47
Common Sense Ratio	1.98	1.68
CPC Index	0.91	1.0
Tail Ratio	1.5	1.14
Outlier Win Ratio	3.6	5.27
Outlier Loss Ratio	3.77	4.58
MTD	0.09%	0.67%
3M	3.18%	3.46%
6M	5.44%	5.51%
YTD	5.61%	5.33%
1Y	23.63%	23.87%
3Y (ann.)	21.9%	22.61%
5Y (ann.)	21.9%	22.61%
10Y (ann.)	21.9%	22.61%
All-time (ann.)	21.9%	22.61%
Best Day	4.25%	6.48%
Worst Day	-2.71%	-6.32%
Best Month	7.81%	7.58%
Worst Month	-5.19%	-3.67%
Best Year	23.79%	25.13%
Worst Year	2.59%	2.63%
Avg. Drawdown	-1.22%	-1.36%
Avg. Drawdown Days	12	18
Recovery Factor	3.85	4.17
Ulcer Index	0.03	0.03
Serenity Index	1.22	1.15
Avg. Up Month	2.65%	2.61%
Avg. Down Month	-2.34%	-2.02%
Win Days	47.83%	55.65%
Win Month	78.95%	78.95%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	0.09	-
Correlation	55.72%	-
Treynor Ratio	47.47%	-