TUSD[Strategy] vs INav[Benchmark]

24 Dec, 2019 - 24 Feb, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	91.0%
Cumulative Return	2.31%	4.64%
CAGR﹪	0.72%	1.44%
Sharpe	-0.42	-0.45
Prob. Sharpe Ratio	5.38%	7.15%
Smart Sharpe	-0.36	-0.39
Sortino	-0.54	-0.57
Smart Sortino	-0.47	-0.5
Sortino/√2	-0.38	-0.41
Smart Sortino/√2	-0.33	-0.35
Omega	0.91	0.91
Max Drawdown	-19.37%	-17.67%
Longest DD Days	472	470
Volatility (ann.)	12.31%	10.24%
R^2	0.54	0.54
Information Ratio	-0.0	-0.0
Calmar	0.04	0.08
Skew	-1.41	-1.58
Kurtosis	24.23	17.74
Expected Daily	0.0%	0.01%
Expected Monthly	0.07%	0.13%
Expected Yearly	0.46%	0.91%
Kelly Criterion	-0.24%	0.97%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.27%	-1.05%
Expected Shortfall (cVaR)	-1.27%	-1.05%
Max Consecutive Wins	7	7
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.03	0.04
Gain/Pain (1M)	0.12	0.17
Payoff Ratio	0.83	0.88
Profit Factor	1.03	1.04
Common Sense Ratio	0.96	0.93
CPC Index	0.47	0.49
Tail Ratio	0.94	0.89
Outlier Win Ratio	4.34	4.83
Outlier Loss Ratio	3.07	3.44
MTD	-4.04%	-3.59%
3M	-2.89%	0.1%
6M	-2.7%	-1.39%
YTD	-0.41%	0.2%
1Y	-10.89%	-8.98%
3Y (ann.)	4.43%	5.04%
5Y (ann.)	0.72%	1.44%
10Y (ann.)	0.72%	1.44%
All-time (ann.)	0.72%	1.44%
Best Day	6.07%	3.95%
Worst Day	-6.59%	-5.53%
Best Month	5.86%	5.51%
Worst Month	-8.22%	-7.77%
Best Year	13.01%	13.14%
Worst Year	-12.83%	-11.83%
Avg. Drawdown	-2.27%	-2.1%
Avg. Drawdown Days	44	39
Recovery Factor	0.12	0.26
Ulcer Index	0.07	0.06
Serenity Index	-0.04	-0.02
Avg. Up Month	2.46%	2.33%
Avg. Down Month	-2.67%	-2.48%
Win Days	54.42%	53.55%
Win Month	51.52%	58.82%
Win Quarter	61.54%	69.23%
Win Year	60.0%	80.0%
Beta	0.89	-
Alpha	-0.0	-
Correlation	73.67%	-
Treynor Ratio	-5.3%	-