SBMM[Strategy] vs INav[Benchmark]

15 Oct, 2021 - 23 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	83.05%	83.06%
CAGR﹪	14.3%	14.3%
Sharpe	2.9	6.94
Prob. Sharpe Ratio	99.95%	99.99%
Smart Sharpe	2.54	6.08
Sortino	4.56	64.39
Smart Sortino	4.0	56.38
Sortino/√2	3.23	45.53
Smart Sortino/√2	2.83	39.87
Omega	3.56	3.56
Max Drawdown	-2.86%	-0.01%
Longest DD Days	33	4
Volatility (ann.)	2.35%	0.98%
R^2	0.1	0.1
Information Ratio	0.0	0.0
Calmar	5.01	1454.12
Skew	-0.06	14.34
Kurtosis	236.06	345.03
Expected Daily	0.05%	0.05%
Expected Monthly	1.11%	1.11%
Expected Yearly	10.6%	10.6%
Kelly Criterion	89.38%	99.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.05%
Expected Shortfall (cVaR)	-0.19%	-0.05%
Max Consecutive Wins	606	203
Max Consecutive Losses	3	1
Gain/Pain Ratio	8.04	1645.38
Gain/Pain (1M)	-	-
Payoff Ratio	1.81	6.18
Profit Factor	9.04	1646.38
Common Sense Ratio	148.58	24566.51
CPC Index	15.29	10141.57
Tail Ratio	16.43	14.92
Outlier Win Ratio	3.0	3.6
Outlier Loss Ratio	0.45	4.95
MTD	0.88%	0.91%
3M	3.73%	3.77%
6M	8.07%	7.99%
YTD	4.55%	4.79%
1Y	18.59%	18.53%
3Y (ann.)	17.27%	17.29%
5Y (ann.)	14.3%	14.3%
10Y (ann.)	14.3%	14.3%
All-time (ann.)	14.3%	14.3%
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	29.09	8445.0
Ulcer Index	0.0	0.0
Serenity Index	444.62	7401702.88
Avg. Up Month	1.11%	1.11%
Avg. Down Month	-	-
Win Days	93.15%	99.64%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.77	-
Alpha	0.03	-
Correlation	31.96%	-
Treynor Ratio	99.12%	-