SBCB[Strategy] vs INav[Benchmark]

22 Feb, 2019 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	50.04%	47.61%
CAGR﹪	5.55%	5.32%
Sharpe	0.12	0.1
Prob. Sharpe Ratio	4.72%	5.07%
Smart Sharpe	0.12	0.09
Sortino	0.19	0.15
Smart Sortino	0.18	0.14
Sortino/√2	0.13	0.11
Smart Sortino/√2	0.13	0.1
Omega	1.03	1.03
Max Drawdown	-26.1%	-20.75%
Longest DD Days	1254	1254
Volatility (ann.)	22.01%	19.23%
R^2	0.47	0.47
Information Ratio	0.0	0.0
Calmar	0.21	0.26
Skew	2.46	2.42
Kurtosis	97.47	45.45
Expected Daily	0.03%	0.03%
Expected Monthly	0.58%	0.56%
Expected Yearly	5.2%	4.99%
Kelly Criterion	5.79%	6.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.24%	-1.96%
Expected Shortfall (cVaR)	-2.24%	-1.96%
Max Consecutive Wins	8	9
Max Consecutive Losses	10	8
Gain/Pain Ratio	0.1	0.09
Gain/Pain (1M)	0.64	0.63
Payoff Ratio	1.15	1.14
Profit Factor	1.1	1.09
Common Sense Ratio	1.13	1.17
CPC Index	0.63	0.62
Tail Ratio	1.02	1.07
Outlier Win Ratio	4.15	4.14
Outlier Loss Ratio	4.15	4.15
MTD	8.48%	6.9%
3M	17.42%	17.39%
6M	11.39%	10.17%
YTD	8.84%	7.79%
1Y	6.21%	6.2%
3Y (ann.)	13.79%	11.13%
5Y (ann.)	3.56%	3.26%
10Y (ann.)	5.55%	5.32%
All-time (ann.)	5.55%	5.32%
Best Day	24.17%	18.82%
Worst Day	-19.56%	-10.21%
Best Month	23.84%	18.03%
Worst Month	-17.25%	-13.17%
Best Year	25.78%	24.89%
Worst Year	-17.42%	-13.24%
Avg. Drawdown	-4.18%	-3.75%
Avg. Drawdown Days	88	99
Recovery Factor	1.92	2.29
Ulcer Index	0.11	0.09
Serenity Index	0.29	0.37
Avg. Up Month	4.18%	3.7%
Avg. Down Month	-2.73%	-2.59%
Win Days	49.58%	50.0%
Win Month	50.0%	52.86%
Win Quarter	48.0%	52.0%
Win Year	62.5%	62.5%
Beta	0.78	-
Alpha	0.03	-
Correlation	68.3%	-
Treynor Ratio	55.05%	-