SBRI[Strategy] vs INav[Benchmark]

5 Oct, 2020 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	29.63%	29.83%
CAGR﹪	5.48%	5.52%
Sharpe	0.06	0.08
Prob. Sharpe Ratio	5.03%	5.11%
Smart Sharpe	0.06	0.08
Sortino	0.08	0.11
Smart Sortino	0.08	0.11
Sortino/√2	0.06	0.08
Smart Sortino/√2	0.05	0.07
Omega	1.01	1.01
Max Drawdown	-46.65%	-46.32%
Longest DD Days	908	904
Volatility (ann.)	23.61%	26.19%
R^2	0.76	0.76
Information Ratio	-0.0	-0.0
Calmar	0.12	0.12
Skew	-1.71	-2.62
Kurtosis	22.69	74.02
Expected Daily	0.02%	0.02%
Expected Monthly	0.44%	0.44%
Expected Yearly	4.42%	4.45%
Kelly Criterion	1.53%	4.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.41%	-2.68%
Expected Shortfall (cVaR)	-2.41%	-2.68%
Max Consecutive Wins	11	10
Max Consecutive Losses	14	14
Gain/Pain Ratio	0.07	0.08
Gain/Pain (1M)	0.32	0.34
Payoff Ratio	0.88	0.89
Profit Factor	1.07	1.08
Common Sense Ratio	0.97	0.98
CPC Index	0.51	0.52
Tail Ratio	0.9	0.91
Outlier Win Ratio	3.95	3.94
Outlier Loss Ratio	3.91	3.83
MTD	12.43%	12.35%
3M	9.71%	9.29%
6M	-0.23%	-0.14%
YTD	8.96%	8.42%
1Y	6.19%	5.79%
3Y (ann.)	10.06%	10.06%
5Y (ann.)	5.48%	5.52%
10Y (ann.)	5.48%	5.52%
All-time (ann.)	5.48%	5.52%
Best Day	9.46%	18.71%
Worst Day	-17.25%	-26.96%
Best Month	17.87%	17.16%
Worst Month	-20.75%	-22.0%
Best Year	34.84%	35.36%
Worst Year	-28.61%	-28.38%
Avg. Drawdown	-4.04%	-4.18%
Avg. Drawdown Days	56	57
Recovery Factor	0.64	0.64
Ulcer Index	0.21	0.21
Serenity Index	0.04	0.05
Avg. Up Month	4.65%	4.57%
Avg. Down Month	-5.67%	-6.18%
Win Days	53.91%	54.91%
Win Month	61.02%	64.41%
Win Quarter	60.0%	60.0%
Win Year	66.67%	66.67%
Beta	0.78	-
Alpha	0.01	-
Correlation	86.89%	-
Treynor Ratio	28.89%	-