SUGB[Strategy] vs INav[Benchmark]

5 Oct, 2020 - 1 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	37.49%	38.42%
CAGR﹪	6.47%	6.61%
Sharpe	0.03	0.03
Prob. Sharpe Ratio	24.15%	81.49%
Smart Sharpe	0.02	0.02
Sortino	0.04	0.04
Smart Sortino	0.03	0.03
Sortino/√2	0.03	0.03
Smart Sortino/√2	0.02	0.02
Omega	1.01	1.01
Max Drawdown	-9.84%	-9.53%
Longest DD Days	511	528
Volatility (ann.)	8.96%	4.42%
R^2	0.25	0.25
Information Ratio	0.0	0.0
Calmar	0.66	0.69
Skew	-0.5	-0.61
Kurtosis	9.66	53.84
Expected Daily	0.03%	0.03%
Expected Monthly	0.51%	0.53%
Expected Yearly	5.45%	5.57%
Kelly Criterion	9.83%	16.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.9%	-0.43%
Expected Shortfall (cVaR)	-0.9%	-0.43%
Max Consecutive Wins	7	18
Max Consecutive Losses	7	9
Gain/Pain Ratio	0.15	0.44
Gain/Pain (1M)	1.36	1.49
Payoff Ratio	1.15	0.97
Profit Factor	1.15	1.44
Common Sense Ratio	1.32	1.83
CPC Index	0.69	0.82
Tail Ratio	1.15	1.27
Outlier Win Ratio	2.74	6.94
Outlier Loss Ratio	2.42	6.43
MTD	-0.25%	0.13%
3M	1.25%	2.04%
6M	11.61%	12.34%
YTD	18.32%	19.35%
1Y	29.0%	28.86%
3Y (ann.)	8.52%	9.02%
5Y (ann.)	6.5%	6.66%
10Y (ann.)	6.47%	6.61%
All-time (ann.)	6.47%	6.61%
Best Day	3.13%	3.27%
Worst Day	-5.57%	-3.93%
Best Month	7.42%	7.26%
Worst Month	-7.25%	-6.05%
Best Year	18.32%	19.35%
Worst Year	-0.8%	-0.74%
Avg. Drawdown	-0.96%	-0.57%
Avg. Drawdown Days	19	30
Recovery Factor	3.81	4.03
Ulcer Index	0.02	0.01
Serenity Index	3.13	2.09
Avg. Up Month	1.85%	1.67%
Avg. Down Month	-1.26%	-1.21%
Win Days	51.86%	58.95%
Win Month	56.45%	66.13%
Win Quarter	61.9%	66.67%
Win Year	83.33%	83.33%
Beta	1.02	-
Alpha	0.0	-
Correlation	50.44%	-
Treynor Ratio	29.8%	-