SBHI[Strategy] vs INav[Benchmark]

30 Nov, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	-19.4%	-19.59%
CAGR﹪	-5.41%	-5.46%
Sharpe	-0.35	-0.25
Prob. Sharpe Ratio	0.93%	1.27%
Smart Sharpe	-0.33	-0.24
Sortino	-0.47	-0.32
Smart Sortino	-0.44	-0.3
Sortino/√2	-0.33	-0.23
Smart Sortino/√2	-0.31	-0.21
Omega	0.94	0.94
Max Drawdown	-51.39%	-51.16%
Longest DD Days	824	822
Volatility (ann.)	25.67%	30.27%
R^2	0.63	0.63
Information Ratio	-0.0	-0.0
Calmar	-0.11	-0.11
Skew	-0.7	-3.03
Kurtosis	6.81	61.71
Expected Daily	-0.02%	-0.02%
Expected Monthly	-0.45%	-0.45%
Expected Yearly	-4.22%	-4.27%
Kelly Criterion	-0.79%	-2.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.67%	-3.14%
Expected Shortfall (cVaR)	-2.67%	-3.14%
Max Consecutive Wins	8	10
Max Consecutive Losses	14	14
Gain/Pain Ratio	-0.02	-0.01
Gain/Pain (1M)	-0.06	-0.02
Payoff Ratio	0.91	0.89
Profit Factor	0.98	0.99
Common Sense Ratio	0.92	0.98
CPC Index	0.47	0.46
Tail Ratio	0.94	0.99
Outlier Win Ratio	3.87	3.7
Outlier Loss Ratio	3.71	3.68
MTD	0.66%	0.55%
3M	-4.03%	-4.33%
6M	-6.45%	-6.31%
YTD	-12.34%	-12.4%
1Y	-6.07%	-5.89%
3Y (ann.)	9.59%	9.6%
5Y (ann.)	-5.41%	-5.46%
10Y (ann.)	-5.41%	-5.46%
All-time (ann.)	-5.41%	-5.46%
Best Day	9.26%	17.29%
Worst Day	-12.25%	-28.79%
Best Month	19.98%	19.94%
Worst Month	-20.25%	-23.03%
Best Year	51.32%	50.81%
Worst Year	-39.14%	-38.85%
Avg. Drawdown	-8.12%	-6.0%
Avg. Drawdown Days	125	92
Recovery Factor	-0.38	-0.38
Ulcer Index	0.26	0.26
Serenity Index	-0.04	-0.04
Avg. Up Month	5.63%	5.71%
Avg. Down Month	-7.08%	-7.65%
Win Days	51.89%	51.71%
Win Month	53.19%	57.45%
Win Quarter	41.18%	41.18%
Win Year	40.0%	40.0%
Beta	0.67	-
Alpha	-0.02	-
Correlation	79.1%	-
Treynor Ratio	-39.37%	-