SBFR[Strategy] vs INav[Benchmark]

9 Feb, 2024 - 1 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	98.0%
Cumulative Return	34.96%	35.03%
CAGR﹪	18.93%	18.97%
Sharpe	4.23	6.23
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.73	5.48
Sortino	7.46	11.04
Smart Sortino	6.57	9.72
Sortino/√2	5.27	7.81
Smart Sortino/√2	4.64	6.87
Omega	2.11	2.11
Max Drawdown	-1.14%	-0.86%
Longest DD Days	33	31
Volatility (ann.)	2.45%	1.67%
R^2	0.36	0.36
Information Ratio	-0.0	-0.0
Calmar	16.59	22.11
Skew	0.27	-0.21
Kurtosis	3.56	5.55
Expected Daily	0.07%	0.07%
Expected Monthly	1.37%	1.37%
Expected Yearly	16.17%	16.2%
Kelly Criterion	43.33%	71.92%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.1%
Expected Shortfall (cVaR)	-0.19%	-0.1%
Max Consecutive Wins	13	26
Max Consecutive Losses	5	4
Gain/Pain Ratio	2.39	5.49
Gain/Pain (1M)	-	-
Payoff Ratio	0.88	0.87
Profit Factor	3.39	6.49
Common Sense Ratio	6.91	19.28
CPC Index	2.2	4.9
Tail Ratio	2.04	2.97
Outlier Win Ratio	3.43	4.82
Outlier Loss Ratio	2.7	3.11
MTD	0.07%	0.06%
3M	4.52%	4.31%
6M	11.63%	11.39%
YTD	19.02%	19.23%
1Y	21.91%	21.5%
3Y (ann.)	18.93%	18.97%
5Y (ann.)	18.93%	18.97%
10Y (ann.)	18.93%	18.97%
All-time (ann.)	18.93%	18.97%
Best Day	0.86%	0.51%
Worst Day	-0.54%	-0.45%
Best Month	2.82%	2.73%
Worst Month	0.07%	0.06%
Best Year	19.02%	19.23%
Worst Year	13.39%	13.25%
Avg. Drawdown	-0.15%	-0.13%
Avg. Drawdown Days	3	4
Recovery Factor	30.62	40.83
Ulcer Index	0.0	0.0
Serenity Index	57.51	88.26
Avg. Up Month	1.37%	1.38%
Avg. Down Month	-	-
Win Days	73.4%	86.95%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.89	-
Alpha	0.02	-
Correlation	60.25%	-
Treynor Ratio	31.58%	-