SBFR[Strategy] vs INav[Benchmark]

9 Feb, 2024 - 26 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	98.0%
Cumulative Return	38.21%	38.31%
CAGR﹪	18.79%	18.83%
Sharpe	4.29	6.36
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.78	5.6
Sortino	7.61	11.35
Smart Sortino	6.7	9.99
Sortino/√2	5.38	8.03
Smart Sortino/√2	4.74	7.07
Omega	2.14	2.14
Max Drawdown	-1.14%	-0.86%
Longest DD Days	33	31
Volatility (ann.)	2.38%	1.61%
R^2	0.34	0.34
Information Ratio	-0.0	-0.0
Calmar	16.46	21.95
Skew	0.29	-0.2
Kurtosis	3.76	5.97
Expected Daily	0.07%	0.07%
Expected Monthly	1.42%	1.42%
Expected Yearly	17.56%	17.6%
Kelly Criterion	43.21%	72.85%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.1%
Expected Shortfall (cVaR)	-0.18%	-0.1%
Max Consecutive Wins	13	26
Max Consecutive Losses	5	4
Gain/Pain Ratio	2.5	5.91
Gain/Pain (1M)	-	-
Payoff Ratio	0.86	0.84
Profit Factor	3.5	6.91
Common Sense Ratio	7.25	20.99
CPC Index	2.22	5.1
Tail Ratio	2.07	3.04
Outlier Win Ratio	3.49	4.89
Outlier Loss Ratio	2.72	3.1
MTD	1.22%	1.23%
3M	4.41%	4.23%
6M	10.11%	9.72%
YTD	21.9%	22.12%
1Y	22.63%	22.68%
3Y (ann.)	18.79%	18.83%
5Y (ann.)	18.79%	18.83%
10Y (ann.)	18.79%	18.83%
All-time (ann.)	18.79%	18.83%
Best Day	0.86%	0.51%
Worst Day	-0.54%	-0.45%
Best Month	2.82%	2.73%
Worst Month	0.18%	0.35%
Best Year	21.9%	22.12%
Worst Year	13.39%	13.25%
Avg. Drawdown	-0.14%	-0.12%
Avg. Drawdown Days	3	4
Recovery Factor	33.48	44.65
Ulcer Index	0.0	0.0
Serenity Index	67.96	104.13
Avg. Up Month	1.42%	1.42%
Avg. Down Month	-	-
Win Days	73.68%	87.58%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.87	-
Alpha	0.02	-
Correlation	58.68%	-
Treynor Ratio	36.01%	-