SBMM[Strategy] vs INav[Benchmark]

15 Oct, 2021 - 19 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	76.23%	76.2%
CAGR﹪	14.21%	14.2%
Sharpe	2.79	6.74
Prob. Sharpe Ratio	99.94%	99.98%
Smart Sharpe	2.45	5.9
Sortino	4.39	61.88
Smart Sortino	3.84	54.2
Sortino/√2	3.1	43.76
Smart Sortino/√2	2.72	38.32
Omega	3.39	3.39
Max Drawdown	-2.86%	-0.01%
Longest DD Days	33	4
Volatility (ann.)	2.42%	1.0%
R^2	0.1	0.1
Information Ratio	0.0	0.0
Calmar	4.98	1443.78
Skew	-0.06	14.33
Kurtosis	223.63	338.59
Expected Daily	0.05%	0.05%
Expected Monthly	1.1%	1.1%
Expected Yearly	9.9%	9.9%
Kelly Criterion	88.73%	99.55%
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	540	197
Max Consecutive Losses	3	1
Gain/Pain Ratio	7.54	1541.39
Gain/Pain (1M)	-	-
Payoff Ratio	1.83	6.18
Profit Factor	8.54	1542.39
Common Sense Ratio	78.74	23717.9
CPC Index	14.5	9490.79
Tail Ratio	9.22	15.38
Outlier Win Ratio	3.04	3.69
Outlier Loss Ratio	0.45	4.96
MTD	0.66%	0.86%
3M	4.17%	4.17%
6M	8.74%	8.76%
YTD	0.66%	0.86%
1Y	20.37%	20.53%
3Y (ann.)	16.42%	16.46%
5Y (ann.)	14.21%	14.2%
10Y (ann.)	14.21%	14.2%
All-time (ann.)	14.21%	14.2%
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	0.66%	0.86%
Avg. Drawdown	-0.12%	-0.01%
Avg. Drawdown Days	3	2
Recovery Factor	26.7	7747.01
Ulcer Index	0.0	0.0
Serenity Index	391.21	6459323.61
Avg. Up Month	1.1%	1.1%
Avg. Down Month	-	-
Win Days	92.71%	99.61%
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	32.35%	-
Treynor Ratio	88.37%	-