RCMB[Strategy] vs INav[Benchmark]

11 Nov, 2020 - 15 Jan, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	70.0%	70.0%
Cumulative Return	1.01%	1.01%
CAGR%	5.76%	5.77%
Sharpe	2.39	3.33
Sortino	4.27	6.32
Max Drawdown	-0.54%	-0.38%
Longest DD Days	25	25
Volatility (ann.)	2.95%	2.11%
R^2	0.38	0.38
Calmar	10.65	15.11
Skew	0.5	0.58
Kurtosis	0.92	0.68
Expected Daily %	0.03%	0.03%
Expected Monthly %	0.33%	0.33%
Expected Yearly %	0.5%	0.5%
Kelly Criterion	27.18%	32.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.28%	-0.19%
Expected Shortfall (cVaR)	-0.35%	-0.35%
Payoff Ratio	1.53	1.46
Profit Factor	0.59	0.82
Common Sense Ratio	1.18	1.33
CPC Index	0.5	0.72
Tail Ratio	2.01	1.63
Outlier Win Ratio	3.68	4.65
Outlier Loss Ratio	1.82	2.31
MTD	0.0%	-0.08%
3M	1.01%	1.01%
6M	1.01%	1.01%
YTD	0.0%	-0.08%
1Y	1.01%	1.01%
3Y (ann.)	5.78%	5.79%
5Y (ann.)	5.78%	5.79%
10Y (ann.)	5.78%	5.79%
All-time (ann.)	5.78%	5.79%
Best Day	0.46%	0.39%
Worst Day	-0.39%	-0.23%
Best Month	0.7%	0.78%
Worst Month	0.0%	-0.08%
Best Year	1.01%	1.09%
Worst Year	0.0%	-0.08%
Avg. Drawdown	-0.28%	-0.23%
Avg. Drawdown Days	8	10
Recovery Factor	1.85	2.63
Ulcer Index	inf	1.01
Avg. Up Month	0.5%	0.54%
Avg. Down Month	nan%	nan%
Win Days %	56.0%	60.0%
Win Month %	100.0%	66.67%
Win Quarter %	100.0%	50.0%
Win Year %	100.0%	50.0%
Beta	0.86	-
Alpha	0.01	-