SCLI[Strategy] vs INav[Benchmark]

31 Jul, 2024 - 9 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	97.0%
Cumulative Return	33.13%	33.05%
CAGR﹪	19.51%	19.46%
Sharpe	11.21	11.36
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.75	8.87
Sortino	26.73	143.5
Smart Sortino	20.87	112.01
Sortino/√2	18.9	101.47
Smart Sortino/√2	14.76	79.2
Omega	12.68	12.68
Max Drawdown	-0.47%	-
Longest DD Days	-	-
Volatility (ann.)	0.98%	0.97%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	41.42	-
Skew	-0.2	4.66
Kurtosis	19.54	37.08
Expected Daily	0.07%	0.07%
Expected Monthly	1.37%	1.37%
Expected Yearly	10.01%	9.98%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.03%
Expected Shortfall (cVaR)	-0.03%	-0.03%
Max Consecutive Wins	213	108
Max Consecutive Losses	1	0
Gain/Pain Ratio	51.0	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	52.0	-
Common Sense Ratio	1087.88	-
CPC Index	-	-
Tail Ratio	20.92	4.59
Outlier Win Ratio	3.33	3.47
Outlier Loss Ratio	0.06	-
MTD	0.28%	0.28%
3M	3.78%	3.79%
6M	7.99%	8.0%
YTD	2.61%	2.75%
1Y	18.97%	18.97%
3Y (ann.)	19.51%	19.46%
5Y (ann.)	19.51%	19.46%
10Y (ann.)	19.51%	19.46%
All-time (ann.)	19.51%	19.46%
Best Day	0.5%	0.69%
Worst Day	-0.47%	0.0%
Best Month	1.8%	1.88%
Worst Month	0.0%	0.0%
Best Year	20.2%	20.26%
Worst Year	2.61%	2.75%
Avg. Drawdown	-0.07%	-
Avg. Drawdown Days	-	-
Recovery Factor	70.33	-
Ulcer Index	0.0	0.0
Serenity Index	534.61	-
Avg. Up Month	1.44%	1.44%
Avg. Down Month	-	-
Win Days	97.98%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.09	-
Alpha	0.16	-
Correlation	9.02%	-
Treynor Ratio	284.92%	-