SBMM[Strategy] vs INav[Benchmark]

15 Oct, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	69.17%	69.14%
CAGR﹪	14.02%	14.01%
Sharpe	2.64	6.44
Prob. Sharpe Ratio	99.93%	99.98%
Smart Sharpe	2.31	5.64
Sortino	4.13	58.21
Smart Sortino	3.62	50.99
Sortino/√2	2.92	41.16
Smart Sortino/√2	2.56	36.05
Omega	3.18	3.18
Max Drawdown	-2.86%	-0.01%
Longest DD Days	33	4
Volatility (ann.)	2.49%	1.01%
R^2	0.11	0.11
Information Ratio	0.0	0.0
Calmar	4.91	1424.38
Skew	-0.05	14.57
Kurtosis	212.82	340.42
Expected Daily	0.05%	0.05%
Expected Monthly	1.08%	1.08%
Expected Yearly	11.09%	11.08%
Kelly Criterion	88.02%	99.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.05%
Expected Shortfall (cVaR)	-0.2%	-0.05%
Max Consecutive Wins	479	197
Max Consecutive Losses	3	1
Gain/Pain Ratio	7.0	1430.11
Gain/Pain (1M)	-	-
Payoff Ratio	1.83	6.1
Profit Factor	8.0	1431.11
Common Sense Ratio	73.5	23745.67
CPC Index	13.52	8698.23
Tail Ratio	9.19	16.59
Outlier Win Ratio	3.0	3.7
Outlier Loss Ratio	0.46	5.01
MTD	0.86%	0.76%
3M	4.6%	4.51%
6M	9.96%	9.88%
YTD	16.63%	16.89%
1Y	21.78%	21.81%
3Y (ann.)	15.49%	15.48%
5Y (ann.)	14.02%	14.01%
10Y (ann.)	14.02%	14.01%
All-time (ann.)	14.02%	14.01%
Best Day	2.57%	1.59%
Worst Day	-2.86%	-0.01%
Best Month	2.16%	1.84%
Worst Month	0.16%	0.24%
Best Year	18.25%	18.2%
Worst Year	1.48%	1.46%
Avg. Drawdown	-0.12%	-0.01%
Avg. Drawdown Days	3	2
Recovery Factor	24.23	7029.13
Ulcer Index	0.0	0.0
Serenity Index	339.51	5536974.61
Avg. Up Month	1.08%	1.08%
Avg. Down Month	-	-
Win Days	92.25%	99.59%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.81	-
Alpha	0.03	-
Correlation	32.99%	-
Treynor Ratio	76.83%	-