SBRB[Strategy] vs INav[Benchmark]

23 Sep, 2019 - 16 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	87.42%	88.23%
CAGR﹪	9.78%	9.85%
Sharpe	0.39	0.67
Prob. Sharpe Ratio	63.47%	97.71%
Smart Sharpe	0.27	0.46
Sortino	0.53	0.88
Smart Sortino	0.37	0.61
Sortino/√2	0.37	0.62
Smart Sortino/√2	0.26	0.43
Omega	1.11	1.11
Max Drawdown	-14.75%	-9.19%
Longest DD Days	193	188
Volatility (ann.)	7.57%	4.26%
R^2	0.58	0.58
Information Ratio	0.0	0.0
Calmar	0.66	1.07
Skew	-4.1	-4.42
Kurtosis	256.35	110.35
Expected Daily	0.04%	0.04%
Expected Monthly	0.78%	0.78%
Expected Yearly	8.17%	8.23%
Kelly Criterion	12.3%	25.08%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.75%	-0.4%
Expected Shortfall (cVaR)	-0.75%	-0.4%
Max Consecutive Wins	15	26
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.42	0.79
Gain/Pain (1M)	3.37	3.51
Payoff Ratio	0.92	0.94
Profit Factor	1.42	1.79
Common Sense Ratio	1.72	2.53
CPC Index	0.75	1.07
Tail Ratio	1.21	1.42
Outlier Win Ratio	3.56	5.83
Outlier Loss Ratio	3.05	5.15
MTD	0.07%	0.64%
3M	4.25%	4.75%
6M	8.91%	9.18%
YTD	8.24%	8.67%
1Y	19.61%	20.15%
3Y (ann.)	13.37%	13.54%
5Y (ann.)	11.29%	11.29%
10Y (ann.)	9.78%	9.85%
All-time (ann.)	9.78%	9.85%
Best Day	8.83%	3.09%
Worst Day	-11.2%	-5.2%
Best Month	4.85%	4.92%
Worst Month	-6.05%	-5.88%
Best Year	26.32%	26.5%
Worst Year	1.48%	1.24%
Avg. Drawdown	-0.45%	-0.28%
Avg. Drawdown Days	9	8
Recovery Factor	5.93	9.6
Ulcer Index	0.01	0.01
Serenity Index	11.52	8.28
Avg. Up Month	1.43%	1.39%
Avg. Down Month	-1.11%	-1.06%
Win Days	58.01%	63.7%
Win Month	75.31%	76.54%
Win Quarter	85.71%	85.71%
Win Year	100.0%	100.0%
Beta	1.35	-
Alpha	-0.03	-
Correlation	76.21%	-
Treynor Ratio	59.44%	-