SBMM[Strategy] vs INav[Benchmark]

15 Oct, 2021 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	90.93%	90.97%
CAGR﹪	14.34%	14.35%
Sharpe	3.0	7.13
Prob. Sharpe Ratio	99.96%	99.99%
Smart Sharpe	2.63	6.24
Sortino	4.73	66.82
Smart Sortino	4.14	58.48
Sortino/√2	3.35	47.25
Smart Sortino/√2	2.93	41.35
Omega	3.74	3.74
Max Drawdown	-2.86%	-0.01%
Longest DD Days	33	4
Volatility (ann.)	2.28%	0.96%
R^2	0.1	0.1
Information Ratio	0.0	0.0
Calmar	5.02	1458.93
Skew	-0.07	14.4
Kurtosis	250.41	354.17
Expected Daily	0.05%	0.05%
Expected Monthly	1.1%	1.1%
Expected Yearly	11.38%	11.39%
Kelly Criterion	90.02%	99.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.05%
Expected Shortfall (cVaR)	-0.18%	-0.05%
Max Consecutive Wins	682	279
Max Consecutive Losses	3	1
Gain/Pain Ratio	8.6	1760.4
Gain/Pain (1M)	-	-
Payoff Ratio	1.79	6.17
Profit Factor	9.6	1761.4
Common Sense Ratio	162.49	25504.71
CPC Index	16.11	10831.37
Tail Ratio	16.92	14.48
Outlier Win Ratio	2.99	3.55
Outlier Loss Ratio	0.45	4.93
MTD	0.33%	0.41%
3M	3.62%	3.71%
6M	7.32%	7.38%
YTD	9.05%	9.32%
1Y	16.59%	16.64%
3Y (ann.)	18.0%	18.06%
5Y (ann.)	14.34%	14.35%
10Y (ann.)	14.34%	14.35%
All-time (ann.)	14.34%	14.35%
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	20.7%	20.73%
Worst Year	1.48%	1.46%
Avg. Drawdown	-0.12%	-0.01%
Avg. Drawdown Days	3	2
Recovery Factor	31.85	9248.82
Ulcer Index	0.0	0.0
Serenity Index	508.9	8535237.93
Avg. Up Month	1.1%	1.1%
Avg. Down Month	-	-
Win Days	93.6%	99.66%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.75	-
Alpha	0.03	-
Correlation	31.39%	-
Treynor Ratio	112.27%	-