PSRB[Strategy] vs INav[Benchmark]

27 Nov, 2024 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	27.0%	28.42%
CAGR﹪	24.5%	25.78%
Sharpe	1.07	1.14
Prob. Sharpe Ratio	67.24%	69.86%
Smart Sharpe	0.86	0.92
Sortino	1.76	1.82
Smart Sortino	1.41	1.45
Sortino/√2	1.25	1.29
Smart Sortino/√2	1.0	1.03
Omega	1.2	1.2
Max Drawdown	-8.86%	-8.46%
Longest DD Days	132	120
Volatility (ann.)	14.9%	14.79%
R^2	0.32	0.32
Information Ratio	-0.0	-0.0
Calmar	2.77	3.05
Skew	0.66	0.62
Kurtosis	1.81	17.92
Expected Daily	0.09%	0.09%
Expected Monthly	1.72%	1.8%
Expected Yearly	12.69%	13.32%
Kelly Criterion	13.55%	15.31%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.45%	-1.44%
Expected Shortfall (cVaR)	-1.45%	-1.44%
Max Consecutive Wins	6	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.3	0.42
Gain/Pain (1M)	2.79	3.35
Payoff Ratio	1.41	1.25
Profit Factor	1.3	1.42
Common Sense Ratio	1.95	1.6
CPC Index	0.91	0.94
Tail Ratio	1.5	1.13
Outlier Win Ratio	3.43	4.43
Outlier Loss Ratio	3.41	4.28
MTD	0.5%	0.81%
3M	5.48%	5.69%
6M	8.64%	9.36%
YTD	23.79%	25.13%
1Y	23.74%	25.13%
3Y (ann.)	24.5%	25.78%
5Y (ann.)	24.5%	25.78%
10Y (ann.)	24.5%	25.78%
All-time (ann.)	24.5%	25.78%
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	-1.6%	-2.05%
Avg. Drawdown Days	13	22
Recovery Factor	3.05	3.36
Ulcer Index	0.04	0.04
Serenity Index	0.8	0.78
Avg. Up Month	3.08%	3.07%
Avg. Down Month	-2.98%	-2.62%
Win Days	49.45%	52.88%
Win Month	78.57%	78.57%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.57	-
Alpha	0.09	-
Correlation	56.24%	-
Treynor Ratio	35.28%	-