SBFR[Strategy] vs INav[Benchmark]

9 Feb, 2024 - 16 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	96.0%
Cumulative Return	22.2%	22.39%
CAGR﹪	17.17%	17.31%
Sharpe	3.52	5.2
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.12	4.62
Sortino	6.05	8.84
Smart Sortino	5.38	7.85
Sortino/√2	4.28	6.25
Smart Sortino/√2	3.8	5.55
Omega	1.86	1.86
Max Drawdown	-1.14%	-0.86%
Longest DD Days	33	31
Volatility (ann.)	2.55%	1.74%
R^2	0.38	0.38
Information Ratio	-0.0	-0.0
Calmar	15.04	20.17
Skew	0.39	-0.18
Kurtosis	3.87	5.54
Expected Daily	0.06%	0.06%
Expected Monthly	1.26%	1.27%
Expected Yearly	10.55%	10.63%
Kelly Criterion	38.55%	68.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.12%
Expected Shortfall (cVaR)	-0.2%	-0.12%
Max Consecutive Wins	13	26
Max Consecutive Losses	5	4
Gain/Pain Ratio	1.95	4.35
Gain/Pain (1M)	-	-
Payoff Ratio	0.87	0.79
Profit Factor	2.95	5.35
Common Sense Ratio	4.56	13.11
CPC Index	1.83	3.65
Tail Ratio	1.55	2.45
Outlier Win Ratio	3.43	5.0
Outlier Loss Ratio	2.61	2.83
MTD	1.08%	0.97%
3M	5.54%	5.49%
6M	10.21%	9.93%
YTD	7.78%	8.07%
1Y	17.2%	17.27%
3Y (ann.)	17.17%	17.31%
5Y (ann.)	17.17%	17.31%
10Y (ann.)	17.17%	17.31%
All-time (ann.)	17.17%	17.31%
Best Day	0.86%	0.51%
Worst Day	-0.54%	-0.45%
Best Month	2.02%	2.01%
Worst Month	0.18%	0.35%
Best Year	13.39%	13.25%
Worst Year	7.78%	8.07%
Avg. Drawdown	-0.16%	-0.17%
Avg. Drawdown Days	3	5
Recovery Factor	19.45	26.1
Ulcer Index	0.0	0.0
Serenity Index	25.22	38.03
Avg. Up Month	1.26%	1.27%
Avg. Down Month	-	-
Win Days	71.43%	86.08%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.9	-
Alpha	0.01	-
Correlation	61.59%	-
Treynor Ratio	16.89%	-