RCMB[Strategy] vs INav[Benchmark]

17 Mar, 2023 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	96.0%	100.0%
Cumulative Return	15.85%	16.4%
CAGR﹪	14.45%	14.95%
Sharpe	-8.57	-11.98
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-7.17	-10.02
Sortino	-8.18	-9.83
Smart Sortino	-6.85	-8.22
Sortino/√2	-5.79	-6.95
Smart Sortino/√2	-4.84	-5.81
Omega	0.22	0.22
Max Drawdown	-18.38%	-18.16%
Longest DD Days	223	248
Volatility (ann.)	22.44%	16.12%
R^2	0.39	0.39
Information Ratio	0.0	0.0
Calmar	0.79	0.82
Skew	-0.95	-2.17
Kurtosis	8.27	16.27
Expected Daily	0.06%	0.06%
Expected Monthly	1.06%	1.09%
Expected Yearly	7.64%	7.89%
Kelly Criterion	4.01%	4.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.26%	-1.61%
Expected Shortfall (cVaR)	-2.26%	-1.61%
Max Consecutive Wins	9	9
Max Consecutive Losses	5	8
Gain/Pain Ratio	0.15	0.2
Gain/Pain (1M)	1.05	1.01
Payoff Ratio	0.89	0.94
Profit Factor	1.15	1.2
Common Sense Ratio	1.07	1.27
CPC Index	0.56	0.6
Tail Ratio	0.93	1.06
Outlier Win Ratio	3.27	4.25
Outlier Loss Ratio	2.96	4.55
MTD	2.59%	1.22%
3M	6.74%	6.3%
6M	-1.3%	0.77%
YTD	6.74%	5.87%
1Y	9.57%	10.35%
3Y (ann.)	14.45%	14.95%
5Y (ann.)	14.45%	14.95%
10Y (ann.)	14.45%	14.95%
All-time (ann.)	14.45%	14.95%
Best Day	5.39%	2.46%
Worst Day	-9.44%	-8.2%
Best Month	12.37%	11.44%
Worst Month	-13.05%	-12.81%
Best Year	8.54%	9.95%
Worst Year	6.74%	5.87%
Avg. Drawdown	-3.23%	-2.69%
Avg. Drawdown Days	25	30
Recovery Factor	0.86	0.9
Ulcer Index	0.09	0.1
Serenity Index	-5.97	-4.17
Avg. Up Month	3.37%	2.94%
Avg. Down Month	-7.67%	-8.03%
Win Days	54.76%	53.61%
Win Month	71.43%	85.71%
Win Quarter	83.33%	83.33%
Win Year	100.0%	100.0%
Beta	0.87	-
Alpha	0.03	-
Correlation	62.2%	-
Treynor Ratio	-789.9%	-