RCMB[Strategy] vs INav[Benchmark]

17 Mar, 2023 - 26 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	18.05%	19.75%
CAGR﹪	11.44%	12.49%
Sharpe	0.29	0.36
Prob. Sharpe Ratio	22.41%	30.74%
Smart Sharpe	0.22	0.28
Sortino	0.45	0.53
Smart Sortino	0.34	0.4
Sortino/√2	0.32	0.37
Smart Sortino/√2	0.24	0.28
Omega	1.06	1.06
Max Drawdown	-25.15%	-24.11%
Longest DD Days	384	409
Volatility (ann.)	33.26%	20.25%
R^2	0.34	0.34
Information Ratio	0.01	0.01
Calmar	0.45	0.52
Skew	0.98	0.05
Kurtosis	11.82	14.94
Expected Daily	0.04%	0.05%
Expected Monthly	0.88%	0.95%
Expected Yearly	8.65%	9.43%
Kelly Criterion	0.7%	5.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.38%	-2.04%
Expected Shortfall (cVaR)	-3.38%	-2.04%
Max Consecutive Wins	9	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.11	0.15
Gain/Pain (1M)	0.93	0.73
Payoff Ratio	0.91	1.05
Profit Factor	1.11	1.15
Common Sense Ratio	1.19	1.21
CPC Index	0.53	0.63
Tail Ratio	1.07	1.05
Outlier Win Ratio	3.74	5.54
Outlier Loss Ratio	3.02	5.41
MTD	0.21%	-0.32%
3M	9.75%	14.13%
6M	3.75%	4.1%
YTD	8.76%	8.92%
1Y	-5.93%	-5.0%
3Y (ann.)	11.44%	12.49%
5Y (ann.)	11.44%	12.49%
10Y (ann.)	11.44%	12.49%
All-time (ann.)	11.44%	12.49%
Best Day	14.07%	7.83%
Worst Day	-9.7%	-8.2%
Best Month	15.83%	14.84%
Worst Month	-13.05%	-12.81%
Best Year	8.76%	9.95%
Worst Year	8.54%	8.92%
Avg. Drawdown	-3.71%	-3.19%
Avg. Drawdown Days	36	43
Recovery Factor	0.72	0.82
Ulcer Index	0.1	0.1
Serenity Index	0.13	0.09
Avg. Up Month	4.42%	4.04%
Avg. Down Month	-6.21%	-7.17%
Win Days	52.56%	51.6%
Win Month	63.16%	73.68%
Win Quarter	71.43%	71.43%
Win Year	100.0%	100.0%
Beta	0.95	-
Alpha	0.03	-
Correlation	57.97%	-
Treynor Ratio	11.6%	-