SBLB[Strategy] vs INav[Benchmark]

19 Apr, 2024 - 11 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	99.0%
Cumulative Return	22.51%	21.65%
CAGR﹪	11.32%	10.91%
Sharpe	0.39	0.38
Prob. Sharpe Ratio	41.73%	42.99%
Smart Sharpe	0.3	0.29
Sortino	0.62	0.6
Smart Sortino	0.48	0.47
Sortino/√2	0.44	0.43
Smart Sortino/√2	0.34	0.33
Omega	1.07	1.07
Max Drawdown	-14.39%	-14.41%
Longest DD Days	315	316
Volatility (ann.)	11.79%	11.05%
R^2	0.88	0.88
Information Ratio	0.01	0.01
Calmar	0.79	0.76
Skew	1.15	1.27
Kurtosis	6.08	7.12
Expected Daily	0.04%	0.04%
Expected Monthly	0.85%	0.82%
Expected Yearly	7.0%	6.75%
Kelly Criterion	7.97%	8.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.18%	-1.1%
Expected Shortfall (cVaR)	-1.18%	-1.1%
Max Consecutive Wins	9	9
Max Consecutive Losses	10	10
Gain/Pain Ratio	0.18	0.2
Gain/Pain (1M)	0.76	0.72
Payoff Ratio	1.1	1.15
Profit Factor	1.18	1.2
Common Sense Ratio	1.34	1.36
CPC Index	0.68	0.7
Tail Ratio	1.13	1.14
Outlier Win Ratio	3.53	3.88
Outlier Loss Ratio	2.94	3.32
MTD	0.15%	0.2%
3M	1.86%	2.18%
6M	2.19%	2.45%
YTD	1.67%	1.97%
1Y	17.29%	17.82%
3Y (ann.)	11.32%	10.91%
5Y (ann.)	11.32%	10.91%
10Y (ann.)	11.32%	10.91%
All-time (ann.)	11.32%	10.91%
Best Day	4.91%	4.61%
Worst Day	-1.8%	-2.1%
Best Month	11.99%	11.3%
Worst Month	-7.1%	-6.98%
Best Year	19.62%	19.73%
Worst Year	0.73%	-0.36%
Avg. Drawdown	-2.71%	-2.26%
Avg. Drawdown Days	45	39
Recovery Factor	1.56	1.5
Ulcer Index	0.06	0.06
Serenity Index	0.17	0.15
Avg. Up Month	3.17%	3.12%
Avg. Down Month	-3.51%	-3.52%
Win Days	51.69%	51.27%
Win Month	66.67%	66.67%
Win Quarter	75.0%	75.0%
Win Year	100.0%	66.67%
Beta	1.0	-
Alpha	0.0	-
Correlation	93.92%	-
Treynor Ratio	15.48%	-