SBLB[Strategy] vs INav[Benchmark]

19 Apr, 2024 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	99.0%
Cumulative Return	18.63%	17.47%
CAGR﹪	13.43%	12.6%
Sharpe	0.51	0.47
Prob. Sharpe Ratio	46.82%	45.57%
Smart Sharpe	0.38	0.34
Sortino	0.83	0.76
Smart Sortino	0.61	0.56
Sortino/√2	0.59	0.54
Smart Sortino/√2	0.43	0.39
Omega	1.09	1.09
Max Drawdown	-14.39%	-14.41%
Longest DD Days	315	316
Volatility (ann.)	12.66%	12.23%
R^2	0.91	0.91
Information Ratio	0.01	0.01
Calmar	0.93	0.87
Skew	1.25	1.24
Kurtosis	6.04	6.17
Expected Daily	0.05%	0.05%
Expected Monthly	1.01%	0.95%
Expected Yearly	8.92%	8.38%
Kelly Criterion	9.11%	8.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.26%	-1.22%
Expected Shortfall (cVaR)	-1.26%	-1.22%
Max Consecutive Wins	9	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.2	0.2
Gain/Pain (1M)	0.78	0.7
Payoff Ratio	1.12	1.15
Profit Factor	1.2	1.2
Common Sense Ratio	1.43	1.33
CPC Index	0.7	0.71
Tail Ratio	1.19	1.11
Outlier Win Ratio	3.96	4.11
Outlier Loss Ratio	2.85	3.06
MTD	1.8%	1.91%
3M	15.88%	15.94%
6M	18.89%	18.57%
YTD	17.77%	17.89%
1Y	31.01%	31.1%
3Y (ann.)	13.43%	12.6%
5Y (ann.)	13.43%	12.6%
10Y (ann.)	13.43%	12.6%
All-time (ann.)	13.43%	12.6%
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	17.77%	17.89%
Worst Year	0.73%	-0.36%
Avg. Drawdown	-2.84%	-2.32%
Avg. Drawdown Days	44	36
Recovery Factor	1.29	1.21
Ulcer Index	0.07	0.07
Serenity Index	0.11	0.09
Avg. Up Month	3.83%	3.81%
Avg. Down Month	-3.83%	-3.98%
Win Days	52.06%	51.32%
Win Month	64.71%	64.71%
Win Quarter	66.67%	66.67%
Win Year	100.0%	50.0%
Beta	0.99	-
Alpha	0.01	-
Correlation	95.21%	-
Treynor Ratio	11.79%	-