PSRB[Strategy] vs INav[Benchmark]

27 Nov, 2024 - 7 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	23.79%	25.16%
CAGR﹪	25.33%	26.8%
Sharpe	1.09	1.17
Prob. Sharpe Ratio	66.33%	69.1%
Smart Sharpe	0.88	0.95
Sortino	1.81	1.87
Smart Sortino	1.47	1.52
Sortino/√2	1.28	1.32
Smart Sortino/√2	1.04	1.07
Omega	1.2	1.2
Max Drawdown	-8.86%	-8.46%
Longest DD Days	86	83
Volatility (ann.)	15.31%	15.17%
R^2	0.29	0.29
Information Ratio	-0.0	-0.0
Calmar	2.86	3.17
Skew	0.68	0.63
Kurtosis	1.59	18.29
Expected Daily	0.09%	0.09%
Expected Monthly	1.66%	1.74%
Expected Yearly	11.26%	11.87%
Kelly Criterion	14.16%	15.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.49%	-1.47%
Expected Shortfall (cVaR)	-1.49%	-1.47%
Max Consecutive Wins	6	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.3	0.42
Gain/Pain (1M)	2.5	3.01
Payoff Ratio	1.48	1.34
Profit Factor	1.3	1.42
Common Sense Ratio	1.9	1.63
CPC Index	0.94	0.99
Tail Ratio	1.46	1.15
Outlier Win Ratio	3.13	4.04
Outlier Loss Ratio	2.99	3.83
MTD	0.9%	1.09%
3M	0.12%	0.93%
6M	15.0%	15.79%
YTD	20.67%	21.96%
1Y	23.79%	25.16%
3Y (ann.)	25.33%	26.8%
5Y (ann.)	25.33%	26.8%
10Y (ann.)	25.33%	26.8%
All-time (ann.)	25.33%	26.8%
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	20.67%	21.96%
Worst Year	2.59%	2.63%
Avg. Drawdown	-1.6%	-2.08%
Avg. Drawdown Days	11	20
Recovery Factor	2.69	2.97
Ulcer Index	0.04	0.04
Serenity Index	0.63	0.6
Avg. Up Month	3.12%	3.11%
Avg. Down Month	-2.98%	-2.62%
Win Days	48.74%	51.87%
Win Month	76.92%	76.92%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.54	-
Alpha	0.1	-
Correlation	53.97%	-
Treynor Ratio	30.83%	-