PSRB[Strategy] vs INav[Benchmark]

27 Nov, 2024 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	17.36%	18.93%
CAGR﹪	29.96%	32.82%
Sharpe	1.28	1.31
Prob. Sharpe Ratio	68.2%	67.68%
Smart Sharpe	1.06	1.09
Sortino	2.17	2.1
Smart Sortino	1.79	1.74
Sortino/√2	1.53	1.48
Smart Sortino/√2	1.27	1.23
Omega	1.24	1.24
Max Drawdown	-7.97%	-8.46%
Longest DD Days	86	83
Volatility (ann.)	16.22%	17.66%
R^2	0.27	0.27
Information Ratio	-0.01	-0.01
Calmar	3.76	3.88
Skew	0.7	0.54
Kurtosis	1.7	15.24
Expected Daily	0.1%	0.11%
Expected Monthly	1.79%	1.95%
Expected Yearly	8.33%	9.06%
Kelly Criterion	13.72%	18.37%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.57%	-1.71%
Expected Shortfall (cVaR)	-1.57%	-1.71%
Max Consecutive Wins	5	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.34	0.46
Gain/Pain (1M)	4.53	4.43
Payoff Ratio	1.59	1.45
Profit Factor	1.34	1.46
Common Sense Ratio	1.99	1.87
CPC Index	1.0	1.1
Tail Ratio	1.49	1.28
Outlier Win Ratio	3.64	4.54
Outlier Loss Ratio	3.42	3.99
MTD	0.39%	0.33%
3M	10.06%	12.03%
6M	14.64%	16.14%
YTD	14.4%	15.89%
1Y	17.36%	18.93%
3Y (ann.)	29.96%	32.82%
5Y (ann.)	29.96%	32.82%
10Y (ann.)	29.96%	32.82%
All-time (ann.)	29.96%	32.82%
Best Day	4.25%	6.48%
Worst Day	-2.71%	-6.32%
Best Month	7.81%	7.58%
Worst Month	-3.43%	-3.6%
Best Year	14.4%	15.89%
Worst Year	2.59%	2.63%
Avg. Drawdown	-1.66%	-2.06%
Avg. Drawdown Days	10	19
Recovery Factor	2.18	2.24
Ulcer Index	0.03	0.04
Serenity Index	0.49	0.42
Avg. Up Month	2.91%	3.17%
Avg. Down Month	-1.88%	-2.09%
Win Days	47.02%	51.63%
Win Month	77.78%	77.78%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.48	-
Alpha	0.13	-
Correlation	52.05%	-
Treynor Ratio	21.68%	-