TUSD[Strategy] vs INav[Benchmark]

1 Nov, 2024 - 30 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	61.0%	100.0%
Cumulative Return	37.57%	37.45%
CAGR﹪	17.34%	17.29%
Sharpe	3.46	6.24
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	2.7	4.86
Sortino	6.37	14.14
Smart Sortino	4.97	11.02
Sortino/√2	4.51	10.0
Smart Sortino/√2	3.51	7.79
Omega	1.8	1.8
Max Drawdown	-0.56%	-0.43%
Longest DD Days	18	15
Volatility (ann.)	2.65%	1.46%
R^2	0.22	0.22
Information Ratio	0.0	0.0
Calmar	30.93	40.33
Skew	0.66	2.08
Kurtosis	3.26	18.43
Expected Daily	0.06%	0.06%
Expected Monthly	1.34%	1.33%
Expected Yearly	11.22%	11.18%
Kelly Criterion	45.98%	72.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.21%	-0.09%
Expected Shortfall (cVaR)	-0.21%	-0.09%
Max Consecutive Wins	5	37
Max Consecutive Losses	2	6
Gain/Pain Ratio	2.08	8.06
Gain/Pain (1M)	-	-
Payoff Ratio	1.05	1.26
Profit Factor	3.08	9.06
Common Sense Ratio	5.8	36.44
CPC Index	2.34	9.65
Tail Ratio	1.88	4.02
Outlier Win Ratio	3.78	5.08
Outlier Loss Ratio	1.31	4.69
MTD	0.97%	0.99%
3M	3.13%	3.2%
6M	6.46%	6.42%
YTD	12.23%	12.26%
1Y	15.08%	15.14%
3Y (ann.)	17.34%	17.29%
5Y (ann.)	17.34%	17.29%
10Y (ann.)	17.34%	17.29%
All-time (ann.)	17.34%	17.29%
Best Day	1.1%	0.81%
Worst Day	-0.51%	-0.42%
Best Month	3.76%	3.81%
Worst Month	0.74%	0.82%
Best Year	17.03%	16.65%
Worst Year	4.74%	4.96%
Avg. Drawdown	-0.2%	-0.06%
Avg. Drawdown Days	3	3
Recovery Factor	67.0	87.35
Ulcer Index	0.0	0.0
Serenity Index	186.55	545.59
Avg. Up Month	1.34%	1.34%
Avg. Down Month	-	-
Win Days	72.31%	84.43%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.85	-
Alpha	0.03	-
Correlation	46.51%	-
Treynor Ratio	36.17%	-