| Metric | ISVL | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 25.81% | 34.58% |
| CAGR﹪ | 26.04% | 34.9% |
| Sharpe | 1.62 | 1.86 |
| Prob. Sharpe Ratio | 94.69% | 96.64% |
| Smart Sharpe | 1.53 | 1.75 |
| Sortino | 2.5 | 2.81 |
| Smart Sortino | 2.36 | 2.65 |
| Sortino/√2 | 1.77 | 1.99 |
| Smart Sortino/√2 | 1.67 | 1.87 |
| Omega | 1.31 | 1.37 |
| Max Drawdown | -12.48% | -13.19% |
| Max DD Date | 2026-03-20 | 2026-03-20 |
| Max DD Period Start | 2026-03-02 | 2026-03-02 |
| Max DD Period End | 2026-07-29 | 2026-05-12 |
| Longest DD Days | 150 | 72 |
| Volatility (ann.) | 14.99% | 16.91% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 2.09 | 2.65 |
| Skew | 0.09 | -0.12 |
| Kurtosis | 1.28 | 1.43 |
| Ulcer Performance Index | 8.0 | 9.46 |
| Risk-Adjusted Return | 26.04% | 34.9% |
| Risk-Return Ratio | 0.1 | 0.12 |
| Avg. Return | 0.1% | 0.13% |
| Avg. Win | 0.8% | 0.91% |
| Avg. Loss | -0.82% | -0.91% |
| Win/Loss Ratio | 0.98 | 1.0 |
| Profit Ratio | 0.87 | 0.72 |
| Expected Daily | 0.09% | 0.12% |
| Expected Monthly | 1.78% | 2.31% |
| Expected Yearly | 12.16% | 16.01% |
| Kelly Criterion | 9.47% | 15.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.46% | -1.63% |
| Expected Shortfall (cVaR) | -2.13% | -2.26% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | 0.31 | 0.37 |
| Gain/Pain (1M) | 2.11 | 2.14 |
| Payoff Ratio | 0.98 | 1.0 |
| Profit Factor | 1.31 | 1.37 |
| Common Sense Ratio | 1.65 | 1.39 |
| CPC Index | 0.71 | 0.79 |
| Tail Ratio | 1.26 | 1.02 |
| Outlier Win Ratio | 3.52 | 3.57 |
| Outlier Loss Ratio | 3.24 | 3.64 |
| MTD | 2.2% | 4.75% |
| 3M | 4.33% | 1.44% |
| 6M | 3.22% | 3.47% |
| YTD | 14.32% | 18.33% |
| 1Y | 25.81% | 34.58% |
| 3Y (ann.) | 26.04% | 34.9% |
| 5Y (ann.) | 26.04% | 34.9% |
| 10Y (ann.) | 26.04% | 34.9% |
| All-time (ann.) | 26.04% | 34.9% |
| Best Day | 3.41% | 3.82% |
| Worst Day | -3.05% | -3.43% |
| Best Month | 6.64% | 8.87% |
| Worst Month | -8.78% | -9.19% |
| Best Year | 14.32% | 18.33% |
| Worst Year | 10.04% | 13.74% |
| Avg. Drawdown | -1.47% | -1.78% |
| Avg. Drawdown Days | 12 | 11 |
| Recovery Factor | 1.93 | 2.36 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 0.77 | 0.93 |
| Avg. Up Month | 3.56% | 4.58% |
| Avg. Down Month | -5.47% | -7.23% |
| Win Days | 55.2% | 57.66% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.05 |
| Alpha | - | 0.06 |
| Correlation | - | 93.23% |
| Treynor Ratio | - | 32.88% |
| Year | ISVL | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 10.04 | 13.74 | 1.37 | + |
| 2026 | 14.32 | 18.33 | 1.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-12 | -13.19 | 72 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2025-11-13 | 2025-11-25 | -3.75 | 13 |
| 2025-10-28 | 2025-11-11 | -3.29 | 15 |
| 2025-10-07 | 2025-10-23 | -3.20 | 17 |
| 2026-05-15 | 2026-05-22 | -3.01 | 8 |
| 2026-01-30 | 2026-02-06 | -2.85 | 8 |
| 2025-08-25 | 2025-09-04 | -1.14 | 11 |
| 2025-09-17 | 2025-09-26 | -1.12 | 10 |
| 2025-12-12 | 2025-12-18 | -0.97 | 7 |