SBRS[Strategy] vs INav[Benchmark]

21 Jun, 2021 - 27 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	99.0%
Cumulative Return	34.84%	35.01%
CAGR﹪	6.97%	7.0%
Sharpe	0.4	0.7
Prob. Sharpe Ratio	36.34%	90.95%
Smart Sharpe	0.32	0.56
Sortino	0.62	1.56
Smart Sortino	0.5	1.25
Sortino/√2	0.44	1.11
Smart Sortino/√2	0.35	0.88
Omega	1.13	1.13
Max Drawdown	-13.87%	-9.83%
Longest DD Days	735	734
Volatility (ann.)	13.75%	6.92%
R^2	0.08	0.08
Information Ratio	0.0	0.0
Calmar	0.5	0.71
Skew	1.2	8.25
Kurtosis	128.62	125.23
Expected Daily	0.04%	0.05%
Expected Monthly	0.91%	0.91%
Expected Yearly	6.16%	6.19%
Kelly Criterion	1.35%	18.9%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.38%	-0.67%
Expected Shortfall (cVaR)	-1.38%	-0.67%
Max Consecutive Wins	8	18
Max Consecutive Losses	7	10
Gain/Pain Ratio	0.32	0.56
Gain/Pain (1M)	2.17	2.36
Payoff Ratio	0.92	0.99
Profit Factor	1.32	1.56
Common Sense Ratio	1.44	1.88
CPC Index	0.64	0.92
Tail Ratio	1.09	1.21
Outlier Win Ratio	3.63	6.26
Outlier Loss Ratio	2.43	4.01
MTD	1.54%	1.47%
3M	2.61%	2.56%
6M	10.35%	10.35%
YTD	17.68%	17.53%
1Y	27.96%	27.72%
3Y (ann.)	17.15%	16.28%
5Y (ann.)	6.97%	7.0%
10Y (ann.)	6.97%	7.0%
All-time (ann.)	6.97%	7.0%
Best Day	12.35%	7.34%
Worst Day	-12.19%	-1.12%
Best Month	7.85%	8.26%
Worst Month	-4.32%	-4.35%
Best Year	17.68%	17.53%
Worst Year	-2.54%	-1.32%
Avg. Drawdown	-0.82%	-0.45%
Avg. Drawdown Days	22	27
Recovery Factor	2.51	3.56
Ulcer Index	0.03	0.03
Serenity Index	1.37	0.76
Avg. Up Month	1.97%	1.9%
Avg. Down Month	-2.02%	-1.54%
Win Days	52.7%	59.72%
Win Month	72.73%	72.73%
Win Quarter	76.92%	76.92%
Win Year	80.0%	80.0%
Beta	0.57	-
Alpha	0.06	-
Correlation	28.67%	-
Treynor Ratio	48.84%	-