SBMM[Strategy] vs INav[Benchmark]

15 Oct, 2021 - 6 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	79.84%	79.61%
CAGR﹪	14.3%	14.26%
Sharpe	2.86	6.85
Prob. Sharpe Ratio	99.95%	99.99%
Smart Sharpe	2.51	6.0
Sortino	4.5	63.25
Smart Sortino	3.94	55.38
Sortino/√2	3.18	44.72
Smart Sortino/√2	2.79	39.16
Omega	3.49	3.49
Max Drawdown	-2.86%	-0.01%
Longest DD Days	33	4
Volatility (ann.)	2.39%	0.99%
R^2	0.1	0.1
Information Ratio	0.0	0.0
Calmar	5.01	1450.2
Skew	-0.06	14.29
Kurtosis	229.4	340.25
Expected Daily	0.05%	0.05%
Expected Monthly	1.09%	1.09%
Expected Yearly	10.28%	10.25%
Kelly Criterion	89.07%	99.56%
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	572	197
Max Consecutive Losses	3	1
Gain/Pain Ratio	7.81	1593.52
Gain/Pain (1M)	-	-
Payoff Ratio	1.83	6.19
Profit Factor	8.81	1594.52
Common Sense Ratio	104.95	24309.4
CPC Index	14.97	9828.08
Tail Ratio	11.92	15.25
Outlier Win Ratio	3.0	3.64
Outlier Loss Ratio	0.45	4.96
MTD	0.29%	0.29%
3M	3.99%	3.92%
6M	8.37%	8.25%
YTD	2.72%	2.81%
1Y	19.8%	19.6%
3Y (ann.)	16.89%	16.86%
5Y (ann.)	14.3%	14.26%
10Y (ann.)	14.3%	14.26%
All-time (ann.)	14.3%	14.26%
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	27.96	8093.62
Ulcer Index	0.0	0.0
Serenity Index	418.66	6925134.55
Avg. Up Month	1.09%	1.09%
Avg. Down Month	-	-
Win Days	92.93%	99.62%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.78	-
Alpha	0.03	-
Correlation	32.18%	-
Treynor Ratio	93.94%	-