SBRS[Strategy] vs INav[Benchmark]

21 Jun, 2021 - 24 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	99.0%
Cumulative Return	42.16%	42.75%
CAGR﹪	6.91%	7.0%
Sharpe	0.34	0.58
Prob. Sharpe Ratio	34.51%	90.96%
Smart Sharpe	0.27	0.47
Sortino	0.53	1.2
Smart Sortino	0.43	0.97
Sortino/√2	0.37	0.85
Smart Sortino/√2	0.3	0.69
Omega	1.11	1.11
Max Drawdown	-13.87%	-9.83%
Longest DD Days	735	734
Volatility (ann.)	12.26%	6.43%
R^2	0.1	0.1
Information Ratio	0.0	0.0
Calmar	0.5	0.71
Skew	1.31	7.88
Kurtosis	155.96	128.96
Expected Daily	0.04%	0.04%
Expected Monthly	0.82%	0.83%
Expected Yearly	6.04%	6.11%
Kelly Criterion	1.85%	18.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-0.62%
Expected Shortfall (cVaR)	-1.23%	-0.62%
Max Consecutive Wins	8	18
Max Consecutive Losses	7	10
Gain/Pain Ratio	0.31	0.53
Gain/Pain (1M)	2.13	2.32
Payoff Ratio	0.89	0.94
Profit Factor	1.31	1.53
Common Sense Ratio	1.35	1.62
CPC Index	0.63	0.87
Tail Ratio	1.03	1.06
Outlier Win Ratio	3.34	5.43
Outlier Loss Ratio	2.64	4.11
MTD	0.39%	0.18%
3M	1.42%	1.05%
6M	0.35%	0.66%
YTD	3.74%	4.01%
1Y	8.14%	8.44%
3Y (ann.)	13.88%	13.41%
5Y (ann.)	6.89%	6.98%
10Y (ann.)	6.91%	7.0%
All-time (ann.)	6.91%	7.0%
Best Day	12.35%	7.34%
Worst Day	-12.19%	-1.19%
Best Month	7.85%	8.26%
Worst Month	-4.32%	-4.35%
Best Year	19.59%	19.48%
Worst Year	-2.54%	-1.32%
Avg. Drawdown	-0.74%	-0.43%
Avg. Drawdown Days	20	22
Recovery Factor	3.04	4.35
Ulcer Index	0.03	0.03
Serenity Index	1.87	1.08
Avg. Up Month	1.73%	1.68%
Avg. Down Month	-2.09%	-1.66%
Win Days	53.71%	60.49%
Win Month	74.42%	76.74%
Win Quarter	75.0%	75.0%
Win Year	83.33%	83.33%
Beta	0.62	-
Alpha	0.04	-
Correlation	32.24%	-
Treynor Ratio	57.16%	-